American Options: Theory & Algorithms - 5MMOATA

• American options in discrete time
  • Arbitrage reasonning
  • Dynamic programming principle
  • Snell envelope and optimal stopping theory
• American options in continuous time
  • Snell envelope in continuous time
  • American Monte Carlo methods: the Longstaff Schwartz algorithm and quantization
  • PDE approach
  • Dual approach

N1 = (E1+P1)/2
N2 = (E2+P2)/2

E1 : examen écrit de session 1
E2 : examen de session 2 (écrit ou oral en fonction du nombre d'étudiants)
P1 : projet
P2 : version corrigée de P1

The course exists in the following branches:

• Curriculum - Financial Engineering - Semester 9

Course ID : 5MMOATA
Course language(s):

You can find this course among all other courses.