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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Abstract/Index
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.
References
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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