Add to ORKGTreball de Fi de Grau en Economia. Curs 2018-2019Tutora: Elisa Alòs AlcaldeIn this work, Monte Carlo simulations coded in Python are used to estimate short-term floating Asian options. Afterwards, variance reduction techniques are used on the Monte Carlo simulations to reduce their variance and to compare those estimates to the first and second approximation formulas by Alòs and León. Finally, an analysis of the volatility of each technique and the errors of both approximation formulas is performed
An option is a contract between a holder and a writer in which the writer grants the rights (not obl...
This paper proposes a methodology to obtain the price of an asian option with underlying averagethro...
All financial institutions that provide options to counterparties will in most cases get involved wi...
Treball de Fi de Grau en Economia. Curs 2018-2019Tutora: Elisa Alòs AlcaldeIn this work, Monte Carlo...
Asian options are an important family of derivative contracts with a wide variety of applications in...
[[abstract]]We present variance reduction methods for Monte Carlo simula-tions to evaluate European ...
This article investigates several variance reduction techniques in Monte Carlo simulation applied in...
This thesis evaluates different models accuracy of option pricing by MonteCarlo simulations when cha...
We apply various variance reduction techniques to the estimation of Asian averages and options and p...
Financial derivatives have developed rapidly over the past few decades due to their risk-averse natu...
The Monte-Carlo method is one of the main method to estimate financial instruments, with this techni...
This paper proposes a methodology to obtain the price of an asian option with underlying averagethro...
Journal articleIn this paper, we consider two types of pricing option in financial markets using qua...
This thesis would not exist without the support from my supervisor prof. Bernard Lapeyre; the head o...
In this paper, we consider two types of pricing option in financial markets using quasi Monte Carlo ...
An option is a contract between a holder and a writer in which the writer grants the rights (not obl...
This paper proposes a methodology to obtain the price of an asian option with underlying averagethro...
All financial institutions that provide options to counterparties will in most cases get involved wi...
Treball de Fi de Grau en Economia. Curs 2018-2019Tutora: Elisa Alòs AlcaldeIn this work, Monte Carlo...
Asian options are an important family of derivative contracts with a wide variety of applications in...
[[abstract]]We present variance reduction methods for Monte Carlo simula-tions to evaluate European ...
This article investigates several variance reduction techniques in Monte Carlo simulation applied in...
This thesis evaluates different models accuracy of option pricing by MonteCarlo simulations when cha...
We apply various variance reduction techniques to the estimation of Asian averages and options and p...
Financial derivatives have developed rapidly over the past few decades due to their risk-averse natu...
The Monte-Carlo method is one of the main method to estimate financial instruments, with this techni...
This paper proposes a methodology to obtain the price of an asian option with underlying averagethro...
Journal articleIn this paper, we consider two types of pricing option in financial markets using qua...
This thesis would not exist without the support from my supervisor prof. Bernard Lapeyre; the head o...
In this paper, we consider two types of pricing option in financial markets using quasi Monte Carlo ...
An option is a contract between a holder and a writer in which the writer grants the rights (not obl...
This paper proposes a methodology to obtain the price of an asian option with underlying averagethro...
All financial institutions that provide options to counterparties will in most cases get involved wi...