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Song, Ying (2019) Investigation and Improvement of Option Valuation in Monte Carlo Method. [Dissertation (University of Nottingham only)]

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Abstract

This paper attempts to study and explore the most commonly used option pricing models. As we will see in Chapter 2, the classic Black-Scholes model, the jump diffusion model, the binary tree model, and the Monte-Carlo valuation method are widely used for option pricing. A large amount of empirical evidence in the literature tests the validity of the model based on historical data. This paper uses the dual method to improve the Monte-Carlo estimation model and examine its simulation effect on historical data.

This paper aims to study, design and implement a simulation algorithm that can accurately predict the price of European options in combination with option pricing literature and computer applications. At the same time, empirical research on its possible fluctuations.

Discussions, methods, and tests have focused on calculating European option pricing issues.

Item Type:	Dissertation (University of Nottingham only)
Depositing User:	Song, Ying
Date Deposited:	02 Dec 2022 14:35
Last Modified:	02 Dec 2022 14:35
URI:	https://eprints.nottingham.ac.uk/id/eprint/58029

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