Métodos numéricos para valoración de opciones asiáticas Thesis

short description

  • Master's thesis

Thesis author

  • Rodriguez Carvajal, Fabio Andres

abstract

  • This Master's Thesis develops three methods to perform the evaluation of European-style Asian options with a strike fixed or variable. Because no there are necessarily closed formulas for all types of Asian options, it is necessary to apply numerical methods and compare their results for determine the eficiency of them. The market model assumed is a model Basic Black-Scholes with a lognormal asset price, a risk-free rate constant and constant volatility.

publication date

  • August 24, 2018 9:49 PM

keywords

  • Antithetical variables
  • Arithmetic average
  • Asian option
  • Binomial mode
  • Control variables
  • Exotic option
  • Geometric average
  • Monte Carlo simulation
  • Nitas differences
  • Option dependent on trajectory
  • Option evaluation
  • Option of average price

Document Id

  • 7ee98344-bdc7-45ad-8748-b9d5b4ad3c46