Monte Carlo methods and stochastic processes in option pricing
Lo Verde, Alessandro (A.A. 2020/2021) Monte Carlo methods and stochastic processes in option pricing. Tesi di Laurea in Probability, Luiss Guido Carli, relatore Sara Biagini, pp. 86. [Master's Degree Thesis]
|
PDF (Full text)
Download (9MB) | Preview |
Abstract/Index
A toolbox for stochastic simulation: fundamentals of Monte Carlo. Probability framework. Monte Carlo method and simulation. Generation of uniform pseudo random numbers. General sampling methods. Modeling option prices: from discrete time to continuous time pricing and first simulations. Discrete time option pricing. Continuous time option pricing: basic theory and models. Monte Carlo evaluation of a European option with Asian payoff. Option pricing with Monte Carlo: variance reduction techniques and stochastic volatility model application (SABR). Variance reduction techniques: improving the Monte Carlo estimate. Beyond the black and scholes model. Stochastic volatility and Monte Carlo methods.
References
Bibliografia: pp. 84-86.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Probability |
| Thesis Supervisor: | Biagini, Sara |
| Thesis Co-Supervisor: | Perone, Pacifico Marco |
| Academic Year: | 2020/2021 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 15 Mar 2022 13:56 |
| Last Modified: | 15 Mar 2022 13:56 |
| URI: | https://tesi.luiss.it/id/eprint/31722 |
Downloads
Downloads per month over past year
Repository Staff Only
 |
View Item |
