Pricing and hedging asian options using Monte Carlo and integral transform techniques

Pricing and hedging asian options using Monte Carlo and integral transform techniques

Thesis (MSc (Mathematics))--University of Stellenbosch, 2010. === ENGLISH ABSTRACT: In this thesis, we discuss and apply the Monte Carlo and integral transform methods in pricing options. These methods have proved to be very e ective in the valuation of options especially when acceleration techniq...

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Bibliographic Details
Main Author: Chibawara, Trust
Other Authors: Ouwehand, P. W.
Format: Others
Language:en
Published: Stellenbosch : University of Stellenbosch 2010
Subjects:
Asian option pricing
Laplace transform inversion
Monte Carlo methods
Dissertations > Mathematics
Theses > Mathematics
Integral transform methods
Online Access:http://hdl.handle.net/10019.1/4292

Internet

http://hdl.handle.net/10019.1/4292

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