Pricing American-style options by Monte Carlo method.

by Wong Chi Yan.Thesis (M.Phil.)--Chinese University of Hong Kong, 2002.Includes bibliographical references (leaves 38-39).Abstracts in English and Chinese.Chapter 1 --- Introduction --- p.1Chapter 1.1 --- Introduction --- p.1Chapter 1.2 --- Monte Carlo Method --- p.2Chapter 1.3 --- Outline of Thesis --- p.5Chapter 2 --- The Random Number Generators --- p.7Chapter 2.1 --- Built-in Random Number Generating Functions --- p.7Chapter 2.2 --- Linear Congruential Generators --- p.8Chapter 3 --- Memory Reduction Methods --- p.10Chapter 3.1 --- The Full-Storage Method --- p.10Chapter 3.2 --- The Forward-Path Method --- p.12Chapter 3.3 --- The Backward-Path Method --- p.14Chapter 4 --- The Least-Squares Method --- p.17Chapter 5 --- Numerical Examples --- p.28Chapter 6 --- Concluding Remarks --- p.34Appendix --- p.36Bibliography --- p.3