The Mathematical Institute, University of Oxford, Eprints Archive

Monte Carlo simulation algorithms for the pricing of American options

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)
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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