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The Java applet for pricing Asian options under Heston’s model using the new Ninomiya weak approximation scheme and quasi-Monte Carlo
Mälardalen University, School of Education, Culture and Communication.
2008 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

This study is based on a new weak-approximation scheme for stochastic differential equations applied to the Heston stochastic volatility model. The scheme was published by Ninomiya and Ninomiya (2008) and is an extension of Kusuoka’s approximation scheme.

Ninomiya’s algorithm decomposes Kusuoka’s stochastic model into a set of ordinary differential equations with random coefficients and suggests several numerical optimisations for faster calculation.

The subject of this paper is a Java applet which calculates the price of an Asian option under the Heston model.

Place, publisher, year, edition, pages
2008. , 50 p.
Keyword [en]
Asian options, Ninomiya, pricing, Monte Carlo, quasi Monte Carlo
National Category
Computational Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-7856OAI: oai:DiVA.org:mdh-7856DiVA: diva2:291881
Subject / course
Mathematics/Applied Mathematics
Presentation
2008-05-14, Mälardalens University, 00:00 (English)
Supervisors
Examiners
Available from: 2014-03-12 Created: 2010-02-03 Last updated: 2014-03-12Bibliographically approved

Open Access in DiVA

Boyko_Vasilev_BSc(731 kB)407 downloads
File information
File name FULLTEXT01.pdfFile size 731 kBChecksum SHA-512
f9d7345b2b1addc9dd226dcae6de0029742d33e690967d88dc8f9fc44c65d002802a3378439ad0105a3f7acfb53a48263cf246158698f5707a869ab8ace398b0
Type fulltextMimetype application/pdf

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Total: 407 downloads
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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf