Quantitative methods for option pricing and financial modeling: Black-Scholes model, Monte Carlo simulation, and Lévy processes
Orlandi, Francesco (A.A. 2022/2023) Quantitative methods for option pricing and financial modeling: Black-Scholes model, Monte Carlo simulation, and Lévy processes. Tesi di Laurea in Mathematical finance, Luiss Guido Carli, relatore Sara Biagini, pp. 65. [Bachelor's Degree Thesis]
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Abstract/Index
Introduction to stochastic calculus. Brownian motion. Black-Scholes model. Introduction to the model. Assumptions. Geometric Brownian motion. The Black-Scholes differential equation. Risk neutral evaluation. The Black-Scholes formula for option pricing. Volatility estimation. Drawbacks and limitations of the Black-Scholes model. Monte Carlo simulation. Monte Carlo method. Pseudorandom sequences. Geometric Brownian motion for stock price simulation. Monte Carlo simulation for option pricing on excel. Black-Scholes option pricing simulation on R-studio. Poisson process and Lévy process. Poisson process. Compound poisson process. The Merton jump diffusion model.
References
Bibliografia: pp. 57-60.
| 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: | 2022/2023 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 08 Nov 2023 13:35 |
| Last Modified: | 08 Nov 2023 13:35 |
| URI: | https://tesi.luiss.it/id/eprint/36919 |
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