The pricing process of an Asian option: an empirical analysis of its main implications and of its price sensitivity to time series volatility modeling
Vacca, Gabriele (A.A. 2021/2022) The pricing process of an Asian option: an empirical analysis of its main implications and of its price sensitivity to time series volatility modeling. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Marco Pirra, pp. 76. [Master's Degree Thesis]
Full text for this thesis not available from the repository.
Abstract/Index
Introducing exotic options. Vanilla options. Option pricing models. Exotic options. Asian options. The pricing process of an Asian option. Description of the underlying. Pricing methodology. Monte Carlo pricing application. Asian call option. European and Asian calls pricing results comparison. Method accuracy. Pricing the Asia option by modeling historical volatility. Data description. Volatility computations and options price sensitivity. Pricing the Asia option by modeling time series volatility.
References
Bibliografia: pp. 63-65.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree program in Corporate Finance, English language (LM-77) |
| Chair: | Asset pricing |
| Thesis Supervisor: | Pirra, Marco |
| Thesis Co-Supervisor: | Borri, Nicola |
| Academic Year: | 2021/2022 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 14 Mar 2023 13:30 |
| Last Modified: | 14 Mar 2023 13:30 |
| URI: | https://tesi.luiss.it/id/eprint/35378 |
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