Lin, Peter (2008) *Monte Carlo simulation algorithms for the pricing of American options.* Masters thesis, University of Oxford.

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## Abstract

One looks at the pricing of American options using Monte Carlo simulations. The selected theories on the low-biased and high-biased algorithms are reviewed. Numerical results from the implementations of the chosen algorithms are presented and analysed. One also investigates the effects of applying antithetic variables to the high-biased algorithm, showing that the variance reducing technique provides great improvements to the existing algorithm.

Item Type: | Thesis (Masters) |
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Subjects: | H - N > Mathematics education |

Research Groups: | Mathematical and Computational Finance Group |

ID Code: | 703 |

Deposited By: | Laura Auger |

Deposited On: | 02 Jul 2008 |

Last Modified: | 20 Jul 2009 14:23 |

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