Using Brownian Bridge for Fast Simulation of Rainbow Barrier Options
碩士 === 國立臺灣大學 === 財務金融學研究所 === 95 === This thesis develops a fast Monte Carlo approach to price multi-asset barrier options, the so-called rainbow barrier options. We develop a computational method based on the Brownian bridge concept to find the exiting probabilities for a multivariate stochastic p...
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2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/27038493194204590104 |
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ndltd-TW-095NTU053040542015-12-07T04:04:11Z http://ndltd.ncl.edu.tw/handle/27038493194204590104 Using Brownian Bridge for Fast Simulation of Rainbow Barrier Options 利用布朗橋快速評價彩虹式障礙選擇權 Yu-Jhen Kang 康毓真 碩士 國立臺灣大學 財務金融學研究所 95 This thesis develops a fast Monte Carlo approach to price multi-asset barrier options, the so-called rainbow barrier options. We develop a computational method based on the Brownian bridge concept to find the exiting probabilities for a multivariate stochastic process. Compared with the standard Monte Carlo simulation to estimate the option value that the assets are continuously monitored, our method converges rapidly. Yuh-Dauh Lyuu 呂育道 2007 學位論文 ; thesis 40 en_US |
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en_US |
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Others
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碩士 === 國立臺灣大學 === 財務金融學研究所 === 95 === This thesis develops a fast Monte Carlo approach to price multi-asset barrier options, the so-called rainbow barrier options. We develop a computational method based on the Brownian bridge concept to find the exiting probabilities
for a multivariate stochastic process. Compared with the standard Monte Carlo simulation to estimate the option value that the assets are continuously monitored, our method converges rapidly.
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| author2 |
Yuh-Dauh Lyuu |
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Yuh-Dauh Lyuu Yu-Jhen Kang 康毓真 |
| author |
Yu-Jhen Kang 康毓真 |
| spellingShingle |
Yu-Jhen Kang 康毓真 Using Brownian Bridge for Fast Simulation of Rainbow Barrier Options |
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Yu-Jhen Kang |
| title |
Using Brownian Bridge for Fast Simulation of Rainbow Barrier Options |
| title_short |
Using Brownian Bridge for Fast Simulation of Rainbow Barrier Options |
| title_full |
Using Brownian Bridge for Fast Simulation of Rainbow Barrier Options |
| title_fullStr |
Using Brownian Bridge for Fast Simulation of Rainbow Barrier Options |
| title_full_unstemmed |
Using Brownian Bridge for Fast Simulation of Rainbow Barrier Options |
| title_sort |
using brownian bridge for fast simulation of rainbow barrier options |
| publishDate |
2007 |
| url |
http://ndltd.ncl.edu.tw/handle/27038493194204590104 |
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