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Monte Carlo methods and variance reduction techniques on floating Asian options

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dc.contributor.author Seguí Serra, Joan Antoni
dc.date.accessioned 2019-10-22T16:07:00Z
dc.date.available 2019-10-22T16:07:00Z
dc.date.issued 2019
dc.identifier.uri http://hdl.handle.net/10230/42487
dc.description Treball de Fi de Grau en Economia. Curs 2018-2019
dc.description Tutora: Elisa Alòs Alcalde
dc.description.abstract In this work, Monte Carlo simulations coded in Python are used to estimate short-term floating Asian options. Afterwards, variance reduction techniques are used on the Monte Carlo simulations to reduce their variance and to compare those estimates to the first and second approximation formulas by Alòs and León. Finally, an analysis of the volatility of each technique and the errors of both approximation formulas is performed.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Treball de fi de grau – Curs 2018-2019
dc.subject.other Montecarlo, Mètode de
dc.subject.other Opcions (Finances)
dc.title Monte Carlo methods and variance reduction techniques on floating Asian options
dc.type info:eu-repo/semantics/bachelorThesis
dc.rights.accessRights info:eu-repo/semantics/openAccess


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