UM ETheses Collection (澳門大學電子學位論文庫)
 Title

Valuation of American put option using LeastSquare quasiMonte Carlo Methods
 English Abstract

Show / Hidden
American option pricing is a popular topic and there are many efficient methods to price the option. In this thesis, an American option is priced by LeastSquare Monte Carlo Method and the pseudorandom numbers are modified with the quasirandom numbers to replace the pseudorandom numbers, this purpose try to make the calculation more accurate. On the other hand, BlackScholes model has been widely used in option pricing, but the fattailed phenomenon often exists in the financial markets. Option pricing with BlackScholes model is based on a normal distribution, if a distribution is actually a fattailed one, the model will underprice options that are far out of the money, which affects the validity of this formula. Therefore, Merton’s JumpDiffusion model is well considered, which contains a jump component in the stock price process, that is to say more suitable to model the financial markets.
 Issue date

2013.
 Author

Cheong, Kuan Po
 Faculty

Faculty of Science and Technology
 Department

Department of Mathematics
 Degree

M.Sc.
 Subject

Options (Finance)  Prices  United States  Mathematical models
Finance  Mathematical methods
Monte Carlo method
 Supervisor

Ding, Deng
 Files In This Item
 Location
 1/F Zone C
 Library URL
 991004679049706306