The Mathematical Institute, University of Oxford, Eprints Archive

Interacting Particle System and its Application in Pricing Bermudan Options

Sun, Zhengyuan (2014) Interacting Particle System and its Application in Pricing Bermudan Options. Masters thesis, Oxford University.

[img]
Preview
PDF - Submitted Version
315kB

Abstract

Interacting particle system (IPS) method has gained popularity in these days. The close relationship with importance sampling method and standard Monte Carlo methods contributes to a broad applications of IPS in derivative pricing and risk management. In this paper, we will introduce some basic ideas and theories behind IPS, and show its link to change of measure. We illustrate IPS with a simple random walk example, and show its application in pricing Bermudan options and compare IPS with other usually used methods, such as Binomial Tree and Longsta-Schwartz method.

Item Type:Thesis (Masters)
Subjects:H - N > Mathematics education
Research Groups:Mathematical and Computational Finance Group
ID Code:1850
Deposited By: Laura Auger
Deposited On:07 Aug 2014 06:45
Last Modified:29 May 2015 19:32

Repository Staff Only: item control page