Asian option pricing model

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En fallstudie på fyra företag inom konfektionshandeln Sysselsättning i Sverige: Variance reduction and low-discrepancy techniques Ramström, Alexander Umeå universitet, Samhällsvetenskapliga fakulteten, Handelshögskolan vid Umeå universitet, Nationalekonomi. En sådan, som används i denna uppsats, approximerar värdet av en…. Till innehåll Läs mer om hur kakor används på gu. This price is in average higher than the Asian option settlement price when the underlying asset price has a positive drift. By simulating the asset movements thousands of times and use well established theory one can approximate the price of one-year financialoptions and for the European options also compare them to the price from Black-Scholes exact pricing formula.

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Chapter 6 shows, using the isoperimetric inequality for Wiener measure, that the relative error in the Monte Carlo pricing of some path-dependent options is independent of the dimension.

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On the Pricing of Path-Dependent Options and Related Problems

Some asymptotic optimization results are also provided. Variance reduction and low-discrepancy techniques kB nedladdningar. Seleznjev, Oleg Umeå universitet, Teknisk-naturvetenskapliga fakulteten, Institutionen för matematik och matematisk statistik. The results show that the models that controls the generating of random numbers has the best estimating of the price where Quasi-MC performed better than the others. The models in this thesis became two direct variance reducing models, a low-discrepancy model and also the Standard model. There exist closed form approximation formulas for valuing this kind of option.

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