Monte Carlo simulation algorithms for the pricing of American options
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 a...
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| Format: | Thesis |
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University of Oxford;Mathematics
2008
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| Summary: | 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. |
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