American Options and Dynamic Programming
Description:
The goal of the project is to look at different methods for pricing
and hedging american options and compare their performance on real data.
Prerequisites:
The student should have a prior knowledge of stochastic calculus.
References:
[1] D. Lamberton, B. Lapeyre, “Introduction to Stochastic Calculus
Applied to Finance”, Chapman & Hall / CRC Press, 2000.
Supervisor:
Dr. Olivier Lévêque (LTHI) * Email: olivier.leveque#epfl.ch * Office: INR 132 * Tel: 38112