Numerical Pricing of Bermudan Options with Shannon Wavelet Expansions

This thesis is about pricing Bermudan options with the SWIFT method (Shannon Wavelets Inverse Fourier Technique). We reformulate the SWIFT pricing formula for European options to improve robustness, which allows us to heuristically select - and test the goodness - of all of the parameters a priori. Furthermore, we propose a simplified version of...

Investment decisions under uncertainties: A case of nuclear power plants

This thesis discusses the role of flexibility of decisions when investing in projects that are affected by economic uncertainties. It uses the theory of real options to value such investment decisions. The thesis focuses on investment decisions related to nuclear power plants, which usually are affected by several sources of economic...

A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston’s Model

We develop an efficient Fourier-based numerical method for pricing Bermudan and discretely monitored barrier options under the Heston stochastic volatility model. The two-dimensional pricing problem is dealt with by a combination of a Fourier cosine series expansion, as in [F. Fang and C.W. Oosterlee, SIAM J. Sci. Comput., 31 (2008), pp. 826–848...