Sökning: "”European Put Option Pricing” ”Stochastic Differential Equations"

Hittade 2 uppsatser innehållade orden ”European Put Option Pricing” ”Stochastic Differential Equations.

  1. 1. Pricing Put Options with Multilevel Monte Carlo Simulation

    Kandidat-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Författare :Jonathan Schöön; [2021]
    Nyckelord :Multilevel Monte Carlo Simulation”; ”European Put Option Pricing” ”Stochastic Differential Equations;

    Sammanfattning : Monte Carlo path simulations are common in mathematical and computational finance as a way of estimating the expected values of a quantity such as a European put option, which is functional to the solution of a stochastic differential equation (SDE). The computational complexity of the standard Monte Carlo (MC) method grows quite large quickly, so in this thesis we focus on the Multilevel Monte Carlo (MLMC) method by Giles, which uses multigrid ideas to reduce the computational complexity. LÄS MER

  3. 2. Exponential Fitting, Finite Volume and Box Methods in Option Pricing.

    Magister-uppsats, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE); Tillämpad matematik och fysik (MPE-lab)

    Författare :Dmitry Shcherbakov; Sylwia Szwaczkiewicz; [2010]
    Nyckelord :Financial Mathematics; numerical methods; exponential fitting; option pricing;

    Sammanfattning : In this thesis we focus mainly on special finite differences and finite volume methods and apply them to the pricing of barrier options.The structure of this work is the following: in Chapter 1 we introduce the definitions of options and illustrate some properties of vanilla European options and exotic options. LÄS MER