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Monte Carlo studies of generalized barrier contracts
Mälardalen University, Department of Mathematics and Physics. Mälardalen University, School of Education, Culture and Communication.
Responsible organisation
2007 (English)Independent thesis Basic level (professional degree), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

This paper examines the pricing of barrier options using Monte Carlo Simulations. MATLAB based software is developed to estimate the price of the option using Monte Carlo simulation. We consider a generalized barrier option of knock out type, but we let the domain take the shape of a rectangular box. We investigate the price of this kind of barrier options. We investigate how the box is placed and what effect it will have on the price of the option. We compare the number of trajectories that are needed in order to achieve the same accuracy between this box barrier option and an ordinary option.

Place, publisher, year, edition, pages
Västerås: Mälardalens högskola , 2007. , 35 p.
Keyword [en]
Barrier options, Monte Carlo simulations
National Category
Computational Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-4317ISBN: MDH.IMA.MAT.0087-AF OAI: oai:DiVA.org:mdh-4317DiVA: diva2:126599
Presentation
(English)
Uppsok
fysik/kemi/matematik
Supervisors
Examiners
Available from: 2009-04-28 Created: 2008-11-19 Last updated: 2009-04-28Bibliographically approved

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fulltext(548 kB)1128 downloads
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File name FULLTEXT01.pdfFile size 548 kBChecksum MD5
Type fulltextMimetype application/pdf

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Department of Mathematics and PhysicsSchool of Education, Culture and Communication
Computational Mathematics

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CiteExportLink to record
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Citation style
  • apa
  • ieee
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  • nn-NB
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