Option pricing and the Montecarlo method

Conti, Lorenzo (A.A. 2021/2022) Option pricing and the Montecarlo method. Tesi di Laurea in Economia e gestione delle imprese, Luiss Guido Carli, relatore Sara Biagini, pp. 42. [Bachelor's Degree Thesis]

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Detailed overview of underlying mathematical concepts. Probability space. Random variables. Filtration. Stochastic process. Distribution of a process. Expectation. Indipendence. Conditional expectation. Martingale process. Linear brownian motion. Geometric brownian motion. Ito's Lemma. Ito's process. Option pricing models. Black-scholes model. Arbitrage in general markets. Unique fair pricing of a derivative under the black-scholes model. Final results for the black-scholes model. The importance of simulation. Montecarlo simulation method. An application of the Montecarlo method: pricing an Asia option. Option pricing with Python: closed-form formulas vs simulation.


Bibliografia: p. 33.

Thesis Type: Bachelor's Degree Thesis
Institution: Luiss Guido Carli
Degree Program: Bachelor's Degree Programs > Bachelor's Degree Program in Management and Computer Science, English language (L-18)
Chair: Economia e gestione delle imprese
Thesis Supervisor: Biagini, Sara
Academic Year: 2021/2022
Session: Summer
Deposited by: Alessandro Perfetti
Date Deposited: 03 Nov 2022 15:07
Last Modified: 03 Nov 2022 15:07
URI: https://tesi.luiss.it/id/eprint/33769


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