UM E-Theses Collection (澳門大學電子學位論文庫)
- Title
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Valuation of American put option using Least-Square quasi-Monte Carlo Methods
- English Abstract
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Show / Hidden
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
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2013.
- Author
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Cheong, Kuan Po
- Faculty
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Faculty of Science and Technology
- Department
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Department of Mathematics
- Degree
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M.Sc.
- Subject
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Options (Finance) -- Prices -- United States -- Mathematical models
Finance -- Mathematical methods
Monte Carlo method
- Supervisor
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Ding, Deng
- Files In This Item
- Location
- 1/F Zone C
- Library URL
- 991004679049706306