Date of Award
Doctor of Philosophy
In this thesis we study three pricing problems related to American type financial contracts: firstly, we derive a closed form upper bound for American put options. This upper bound can be used in conjunction with traditional Monte Carlo simulation, which usually generates a lower bound, to obtain a better estimate for the option price; secondly, we solve an optimal control problem and derive an optimal strategy for the owner of a stock which is subject to default risk; thirdly, we prove an ordering result for American options with a piecewise linear payoff under a family of equivalent martingale measures used in stochastic volatility models.
Digital Repository @ Iowa State University, http://lib.dr.iastate.edu/
Meng, Qiang, "Topics in pricing American type financial contracts" (2007). Retrospective Theses and Dissertations. 15907.