Option pricing with stochastic interest rates: a Monte Carlo approach

Pezzutti, Carla (A.A. 2023/2024) Option pricing with stochastic interest rates: a Monte Carlo approach. Tesi di Laurea in Mathematical finance, Luiss Guido Carli, relatore Sara Biagini, pp. 47. [Bachelor's Degree Thesis]

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Abstract/Index

Financial options: essential concepts and strategies. Historical perspective on options trading. Options today: contemporary landscape. Mathematical preliminaries: understanding the foundations of option pricing models. Probability spaces. Random variables. Stochastic calculus. Itô calculus. Option pricing in the presence of stochastic interest rates. Black-scholes model. Stochastic interest rate models: the Vasicek model. Monte Carlo simulation for option pricing.

References

Bibliografia: p. 47.

Thesis Type: Bachelor's Degree Thesis
Institution: Luiss Guido Carli
Degree Program: Bachelor's Degree Programs > Bachelor's Degree Program in Economics and Business, English language (L-33)
Chair: Mathematical finance
Thesis Supervisor: Biagini, Sara
Academic Year: 2023/2024
Session: Summer
Deposited by: Alessandro Perfetti
Date Deposited: 17 Oct 2024 10:43
Last Modified: 17 Oct 2024 10:43
URI: https://tesi.luiss.it/id/eprint/40083

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