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


Analysis and Numerical Pricing of Infinite Reload Options

Masterarbeit Wirtschaftsmathematik

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



In this thesis we want to investigate numerical methods to price infinite reload option contracts.


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


  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.

University of Wuppertal
Faculty of Mathematics and Natural Sciences
Department of Mathematics
Applied Mathematics & Numerical Analysis Group

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