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Monte Carlo method for financial der...

Chen, Yong.

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Monte Carlo method for financial derivatives valuation.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Monte Carlo method for financial derivatives valuation./
作者:	Chen, Yong.
面頁冊數:	79 p.
附註:	Source: Dissertation Abstracts International, Volume: 63-10, Section: B, page: 4710.
Contained By:	Dissertation Abstracts International63-10B.
標題:	Mathematics. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3066634
ISBN:	0493860134

Monte Carlo method for financial derivatives valuation.
Chen, Yong.

Monte Carlo method for financial derivatives valuation. - 79 p.

Source: Dissertation Abstracts International, Volume: 63-10, Section: B, page: 4710.

Thesis (Ph.D.)--Chinese University of Hong Kong (People's Republic of China), 2002.

The Monte Carlo approach has proved to be a valuable and flexible computational tool in modern finance. The Monte Carlo method is the main topic of the thesis.

ISBN: 0493860134Subjects--Topical Terms:

515831
Mathematics.

Monte Carlo method for financial derivatives valuation.
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245 1 0 $a Monte Carlo method for financial derivatives valuation.
300 $a 79 p.
500 $a Source: Dissertation Abstracts International, Volume: 63-10, Section: B, page: 4710.
500 $a Adviser: Raymond Chan.
502 $a Thesis (Ph.D.)--Chinese University of Hong Kong (People's Republic of China), 2002.
520 $a The Monte Carlo approach has proved to be a valuable and flexible computational tool in modern finance. The Monte Carlo method is the main topic of the thesis.
520 $a Some basic concepts on options are first introduced. Then general methods for pricing options are described. These methods include: analytical formula, finite difference methods and binomial and multinomial methods. These prepare us for the in-depth study on the Monte Carlo method in subsequent chapters.
520 $a As for the Monte Carlo Method, we first introduce a brief history of the method and pricing options by using the method. Secondly, the basic idea of using the method in computing option price is described. Thirdly, pricing vanilla options is introduced. Fourthly, we discuss some techniques of improving computing accuracy. They include antithetic variables, control variate methods and importance sampling.
520 $a Fifth, we study in detail pricing option problems by using the Monte Carlo method. Then we present a new method on pricing American option, by which, the required memory in computation can be significantly reduced. For most methods of pricing American options, bias exists. However, by using the memory reduction method, minimizing biases is possible. We also discuss the problem for valuation of multiasset options by using our method. In fact, this is an important application of the Monte Carlo method in practical financial problems.
520 $a Finally, comparisons of the performances of these numerical results are presented.
590 $a School code: 1307.
650 4 $a Mathematics. $3 515831
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710 2 0 $a Chinese University of Hong Kong (People's Republic of China). $3 1249360
773 0 $t Dissertation Abstracts International $g 63-10B.
790 1 0 $a Chan, Raymond, $e advisor
790 $a 1307
791 $a Ph.D.
792 $a 2002
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