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Dokumenttyp:
Diplomarbeit
Autor(en):
Liu, Li
Titel:
Option Pricing Using Monte Carlo Simulation
Abstract:
With the finance developed in modern days, options are traded by banks or other financial institutions on many exchanges all over the world. An option that can be exercised at any time during its life, the American style option is one of the most popular used among them. In this paper we implement Monte Carlo Simulations in order to price American options. The American option valuation by Monte Carlo methods was considered a very challenging problem for many years. The works from Carrière (1996)...     »
Gutachter:
Prof. Dr. Rudi Zagst
Jahr:
2005
Sprache:
en
Hochschule / Universität:
Technische Universität München
Fakultät:
Fakultät für Mathematik
Format:
Text
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