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Tesi etd-06072016-101026


Tipo di tesi
Tesi di laurea magistrale
Autore
AJOVALASIT, DANILO
URN
etd-06072016-101026
Titolo
Option Pricing with Monte Carlo Simulation and Variance Reduction Technique
Struttura
ECONOMIA E MANAGEMENT
Corso di studi
ECONOMICS
Commissione
relatore Prof. Cambini, Riccardo
Parole chiave
  • Option Pricing
  • Quasi Monte Carlo
  • Monte Carlo
  • Variance Reduction
  • Antithetic Variates
  • Control Variates
Data inizio appello
04/07/2016;
Disponibilità
completa
Riassunto analitico
The Monte-Carlo method is one of the main method to estimate fi nancial 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 eeficiency, is very helpful but it su ffers of a computation e ffort which need the use of particular other methods which leads to \sub-optimal solution" which needs less time of computing to a fford a result which really close the optimal one. These methods are de fined as variance reduction techniques and quasi Monte-Carlo methods, very di fferent each others, apart from the goal to reach.
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