Thesis etd-06072016-101026 |
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Thesis type
Tesi di laurea magistrale
URN
etd-06072016-101026
Thesis title
Option Pricing with Monte Carlo Simulation and Variance Reduction Technique
Department
ECONOMIA E MANAGEMENT
Course of study
ECONOMICS
Supervisors
.
relatore Prof. Cambini, Riccardo
Keywords
- Antithetic Variates
- Control Variates
- Monte Carlo
- Option Pricing
- Quasi Monte Carlo
- Variance Reduction
Graduation session start date
04/07/2016
Availability
Withheld
Release date
04/07/2086
Abstract (Inglese)
Abstract (Italiano)
The Monte-Carlo method is one of the main method to estimate financial instruments, with this technique it is possible use the numerical integration to evaluate the stochastic equation which represent the underlying of the option to forecast the probable price at future period. The technique, with all passible way to improve the efficiency, is very helpful but it suffers of a computation effort which need the use of particular other methods which leads to "sub-optimal solution" which needs less time of computing to afford a result which really close the optimal one. These methods are defined as variance reduction techniques and quasi Monte-Carlo methods, very different each others, apart from the goal to reach.
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