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Tesi etd-11072023-084519


Tipo di tesi
Tesi di laurea magistrale
Autore
MARCHI, GIULIO
URN
etd-11072023-084519
Titolo
Plain vanilla and path dependence options: pricing models and numerical exemplification
Dipartimento
ECONOMIA E MANAGEMENT
Corso di studi
BANCA, FINANZA AZIENDALE E MERCATI FINANZIARI
Relatori
relatore Prof. Vannucci, Emanuele
Parole chiave
  • exotic options
  • options
  • pricing models
Data inizio appello
01/12/2023
Consultabilità
Tesi non consultabile
Riassunto
Financial options are an instrument of particular interest in the world of financial markets.
Understanding the pricing mechanisms of these instruments is critical to their proper application.
Indeed, this thesis aims to explore these models.
It is developed with a first part dedicated to the basics regarding plain vanilla options and the illustration of the main pricing models: binomial model (CRR), the Black-Scholes-Merton model with reference also to stochastic processes and finally the Monte Carlo simulation.
The second part also analyzes a family of exotic options called "path dependence," which are characterized by more complex structures than the common plain vanilla ones.
Finally, numerical exemplifications are made with respect to both plain vanilla and path dependence options.
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