Pricing American-style options by Monte Carlo method.

• Other Authors: Wong, Chi Yan
• Format: Others
• Language: English; Chinese
• Published: 2002
• Subjects: Options (Finance) > Prices > Mathematical models; Options (Finance) > Prices > United States > Mathematical models; Monte Carlo method
• Online Access: http://library.cuhk.edu.hk/record=b5891097; http://repository.lib.cuhk.edu.hk/en/item/cuhk-323865

by Wong Chi Yan. === Thesis (M.Phil.)--Chinese University of Hong Kong, 2002. === Includes bibliographical references (leaves 38-39). === Abstracts in English and Chinese. === Chapter 1 --- Introduction --- p.1 === Chapter 1.1 --- Introduction --- p.1 === Chapter 1.2 --- Monte Carlo Method --- p.2 === Chapter 1.3 --- Outline of Thesis --- p.5 === Chapter 2 --- The Random Number Generators --- p.7 === Chapter 2.1 --- Built-in Random Number Generating Functions --- p.7 === Chapter 2.2 --- Linear Congruential Generators --- p.8 === Chapter 3 --- Memory Reduction Methods --- p.10 === Chapter 3.1 --- The Full-Storage Method --- p.10 === Chapter 3.2 --- The Forward-Path Method --- p.12 === Chapter 3.3 --- The Backward-Path Method --- p.14 === Chapter 4 --- The Least-Squares Method --- p.17 === Chapter 5 --- Numerical Examples --- p.28 === Chapter 6 --- Concluding Remarks --- p.34 === Appendix --- p.36 === Bibliography --- p.38