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]

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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.


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


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