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  1. 1. Variance Reduction for Asian Options

    Magister-uppsats, Högskolan i Halmstad

    Författare :Galina Galda; []
    Nyckelord :Asian options; Monte Carlo method; Variance Reduction techniques; Control Variate;

    Sammanfattning : Asian options are an important family of derivative contracts with a wide variety of applications in commodity, currency, energy, interest rate, equity and insurance markets. In this master's thesis, we investigate methods for evaluating the price of the Asian call options with a fixed strike. One of them is the Monte Carlo method. LÄS MER