2024-03-28T13:43:42Zhttp://oai-repositori.upf.edu/oai/requestoai:repositori.upf.edu:10230/354332018-09-07T01:31:49Zcom_10230_20647com_10230_16441col_10230_35426
Repositori digital de la UPF
author
Bistué Muñoz, Pablo
author
Garvayo Navarro, Alberto
author
Pérez de Lara y Sánchez, Eduardo
2018-09-06T12:01:57Z
2018-09-06T12:01:57Z
2018
http://hdl.handle.net/10230/35433
In this project we show how European options can be priced by using the Monte Carlo method.
Since the first results were positive, assuming that market is following Black-Scholes model, we saw how the value estimated with the Monte Carlo method was becoming closer to the real value of the model.
Thus, we were asked to design a new option: APE; and estimate its price by implementing the Monte Carlo method seen in the procedure used in first section of the project.
In conclusion, results were becoming closer to real values by increasing the number of observations done and the tries made; therefore Monte Carlo Method has been checked and we determine that it can be very useful to estimate value of all these new options.
eng
Atribución-NoComercial-SinDerivadas 3.0 España
Project on numerical methods : a proof on Monte Carlo method to price European options
info:eu-repo/semantics/other
URL
http://repositori.upf.edu/bitstream/10230/35433/1/MarketsandDerivativesBGP.pdf
File
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MarketsandDerivativesBGP.pdf
URL
http://repositori.upf.edu/bitstream/10230/35433/3/MarketsandDerivativesBGP.pdf.txt
File
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MarketsandDerivativesBGP.pdf.txt