Sökning: "Alexander Ramström"

Hittade 1 uppsats innehållade orden Alexander Ramström.

  1. 1. Pricing of European and Asian options with Monte Carlo simulations : Variance reduction and low-discrepancy techniques

    Kandidat-uppsats, Umeå universitet/Nationalekonomi

    Författare :Alexander Ramström; [2017]
    Nyckelord :;

    Sammanfattning : This thesis evaluates different models accuracy of option pricing by MonteCarlo simulations when changing parameter values and the number of simulations. By simulating the asset movements thousands of times and use well established theory one can approximate the price of one-year financialoptions and for the European options also compare them to the price from Black-Scholes exact pricing formula. LÄS MER