Brogi, Federico (A.A. 2022/2023) Illiquid underlying asset effect on option pricing: bermudan-Basket: option valuation with the Longstaff-Schwartz method. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Nicola Borri, pp. 101. [Master's Degree Thesis]

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Abstract/Index

Options. Definition. Option styles. The Greeks. From the binomial model to the Black-Scholes model for option pricing. The binomial model. The Black-Scholes model. Models comparison: liquid and illiquid stocks. Geometric brownian motion for Monte Carlo simulation. Stochastic differential equation, wiener process and geometric brownian motion. Monte Carlo simulation. Application of Monte Carlo for option pricing: liquid vs. illiquid underlying stocks. Variance reduction methods. Antithetic variables. Control variate technique. Quasi-Monte Carlo simulation. Comparison between Monte Carlo and quasi-Monte Carlo simulations. Quasi-Monte Carlo simulation in high dimension. Brownian bridge. Application of quasi-Monte Carlo for option pricing: liquid vs. illiquid underlying stocks. Bermudan-Basket option pricing with the Longstaff-Schwartz method: liquid vs. illiquid underlying Basket of stocks. Longstaff-Schwartz method. American-style option valuation with the Longstaff-Schwartz method. Bermudan-Basket option pricing with the Longstaff-Schwartz method.

References

Bibliografia: pp. 97-99.

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:	Asset pricing
Thesis Supervisor:	Borri, Nicola
Thesis Co-Supervisor:	Cybo, Ottone Alberto
Academic Year:	2022/2023
Session:	Autumn
Deposited by:	Alessandro Perfetti
Date Deposited:	20 May 2024 12:51
Last Modified:	20 May 2024 12:51
URI:	https://tesi.luiss.it/id/eprint/38532

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