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Analysis of employee stock options and guaranteed withdrawal benefits for life
(Massachusetts Institute of Technology, 2008)
In this thesis we study three problems related to financial modeling. First, we study the problem of pricing Employee Stock Options (ESOs) from the point of view of the issuing company. Since an employee cannot trade or ...
No-arbitrage bounds on American Put Options with a single maturity
(Massachusetts Institute of Technology, 2006)
We consider in this thesis the problem of pricing American Put Options in a model-free framework where we do not make any assumptions about the price dynamics of the underlying except those implied by the no-arbitrage ...