Add to ORKGThis paper aims to use Monte Carlo methods to price American call options on equities using the variance reduction technique of control variates and to price American put options using the binomial model. We use this information to form option positions. This project was done a part of the masters capstone course Math 573: Computational Methods of Financial Mathematics
American options are the most commonly traded financial derivatives in the market. Pricing these opt...
Giles has provided in the duration of the dissertation. One looks at the pricing of American options...
This article investigates several variance reduction techniques in Monte Carlo simulation applied in...
This project is devoted primarily to the use of Monte Carlo methods to simulate stock prices in orde...
This paper aims to practice the use of Monte Carlo methods to simulate stock prices in order to pric...
One looks at the pricing of American options using Monte Carlo simulations. The selected theories on...
This thesis addresses issues in discretization and variance reduction methods for Monte Carlo simula...
This thesis is composed of two parts. The first parts deals with a technique for pricing American-st...
by Lam Wing Shan.Thesis (M.Phil.)--Chinese University of Hong Kong, 2003.Includes bibliographical re...
Mortgage backed securities are one of the most important asset classes available to fixed income inv...
The credit derivatives market has known an incredible development since its advent in the 1990\u27s....
This thesis proposes a Monte Carlo valuation method for Worst-of Auto-callable equity swaps. The val...
An option is a contract which gives the owner (buyer) of the option the right, but not obligation, t...
As for the Monte Carlo Method, we first introduce a brief history of the method and pricing options ...
This thesis examines the valuation methods used for pricing European and American call options. Opti...
American options are the most commonly traded financial derivatives in the market. Pricing these opt...
Giles has provided in the duration of the dissertation. One looks at the pricing of American options...
This article investigates several variance reduction techniques in Monte Carlo simulation applied in...
This project is devoted primarily to the use of Monte Carlo methods to simulate stock prices in orde...
This paper aims to practice the use of Monte Carlo methods to simulate stock prices in order to pric...
One looks at the pricing of American options using Monte Carlo simulations. The selected theories on...
This thesis addresses issues in discretization and variance reduction methods for Monte Carlo simula...
This thesis is composed of two parts. The first parts deals with a technique for pricing American-st...
by Lam Wing Shan.Thesis (M.Phil.)--Chinese University of Hong Kong, 2003.Includes bibliographical re...
Mortgage backed securities are one of the most important asset classes available to fixed income inv...
The credit derivatives market has known an incredible development since its advent in the 1990\u27s....
This thesis proposes a Monte Carlo valuation method for Worst-of Auto-callable equity swaps. The val...
An option is a contract which gives the owner (buyer) of the option the right, but not obligation, t...
As for the Monte Carlo Method, we first introduce a brief history of the method and pricing options ...
This thesis examines the valuation methods used for pricing European and American call options. Opti...
American options are the most commonly traded financial derivatives in the market. Pricing these opt...
Giles has provided in the duration of the dissertation. One looks at the pricing of American options...
This article investigates several variance reduction techniques in Monte Carlo simulation applied in...