Compound Options

Title

Compound Options: Numerical valuation methods and a real option application

 Author

Guise, Juliette (TU Delft Electrical Engineering, Mathematics and Computer Science)

Contributor

Oosterlee, Kees (mentor)

Degree granting institution

Delft University of Technology

 Programme

Applied Mathematics

 Date

2019

 Abstract

In this thesis, several compound options and a real option application will be valued. First, an introduction to real options and our application will be given and bridges between financial and real options will be established. Then, an asset price model will be introduced which will be used throughout the whole thesis to value options, and several financial options will be introduced: European options, American options and compound options. If there exists a closed-form solution of the option value of these options, it will be provided and derived. When there is no closed-form solution available, numerical valuation methods should be used. The binomial method, trinomial method and Monte Carlo simulation are methods which will be explained and used in this thesis. After the introduction of these valuation methods, the results will be compared to the results obtained from the closed-form solution. When the correctness of the valuation methods methods has been confirmed, they will be used for the compound options and real option application.

 Subject

Finance
Compound options
Numerical

 To reference this document use:

http://resolver.tudelft.nl/uuid:5ea3e17c-fb77-4dec-b36a-0ed61e3b6b93

 Part of collection

Student theses

 Document type

bachelor thesis

 Rights

© 2019 Juliette Guise
Files
PDF BSc_Thesis_Juliette.pdf 772.23 KB
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