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UM E-Theses Collection (澳門大學電子學位論文庫)

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Title

Monte Carlo simulation with variance reduction on option pricing

English Abstract

In this thesis, modern theories of option pricing using Black-Scholes formula are reviewed. Then in Ch2, three common option pricing methods are introduced. In Ch3, the study focuses on the Monte Carlo method, mainly because its performance over large quantity of paths and dimensions. In Ch4, the thesis studies new method of variance reduction. These methods are reviewed in the later chapter. Finally a numerical experiment and real market price is presented to test the practical feasi¬bility of this Monte Carlo simulation with variance reduction, and then a comparison between the numerical simulation with real market date is given.

Issue date

2015

Author

Xu, Qiao Mu

Faculty

Faculty of Science and Technology

Degree

M.Sc.

Subject

Monte Carlo method

Options (Finance) -- Prices

Mathematics -- Department of Mathematics

Supervisor

Ding, Deng

Files In This Item

Full-text (Intranet)

Location
1/F Zone C
Library URL
991000744579706306