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UM E-Theses Collection (澳門大學電子學位論文庫)

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Title

Valuation of American put option using Least-Square quasi-Monte Carlo Methods

English Abstract

American option pricing is a popular topic and there are many efficient methods to price the option. In this thesis, an American option is priced by Least-Square Monte Carlo Method and the pseudo-random numbers are modified with the quasirandom numbers to replace the pseudo-random numbers, this purpose try to make the calculation more accurate. On the other hand, Black-Scholes model has been widely used in option pricing, but the fat-tailed phenomenon often exists in the financial markets. Option pricing with Black-Scholes model is based on a normal distribution, if a distribution is actually a fat-tailed one, the model will under-price options that are far out of the money, which affects the validity of this formula. Therefore, Merton’s Jump-Diffusion model is well considered, which contains a jump component in the stock price process, that is to say more suitable to model the financial markets.

Issue date

2013.

Author

Cheong, Kuan Po

Faculty

Faculty of Science and Technology

Department

Department of Mathematics

Degree

M.Sc.

Subject

Options (Finance) -- Prices -- United States -- Mathematical models

Finance -- Mathematical methods

Monte Carlo method

Supervisor

Ding, Deng

Files In This Item

Full-text (Internet)

Location
1/F Zone C
Library URL
991004679049706306