Bergische Universität Wuppertal Fachbereich Mathematik und Naturwissenschaften Angewandte Mathematik - Numerische Analysis

People Research Publications Teaching

---

Analysis and Numerical Pricing of Infinite Reload Options

Masterarbeit Wirtschaftsmathematik

Master's Thesis in Financial Mathematics, Halmstad University, Sweden

Supervision

• Prof. Dr. Matthias Ehrhardt

Description

Keywords

optimal exercise, infinite reload options, viscosity solution, monotone difference scheme

References:

1. P.H. Dybvig and M. Loewenstein, Employee reload options: Pricing, hedging, and optimal exercise, Review of Financial Studies 16 (2003) 145-171.
2. M. Dai and Y. Kwok, A tale of two options: Employee reload options and shout call options, Working paper, Hong Kong University of Science and Technology, 2003.
3. M. Dai and Y. Kwok, Valuing employee reload options under time vesting requirement, Quantitative Finance 5 (2005) 61-69.
4. G. Barles, Convergence of numerical schemes for degenerate parabolic equations arising in finance theory, in: L. Rogers and D. Talay (eds.), Numerical Methods in Finance, Cambridge University Press, Cambridge, 1997, pp. 1-21.
5. A.C. Bélanger and P.A. Forsyth, Infinite reload options: Pricing and analysis, Journal of Computational and Applied Mathematics 222 (2008), 54-81.
6. A. Bensoussan and J.-L. Lions, Impulse Control and Quasi-Variational Inequalities, Gauthier-Villars, 1984.