Numerical methods for option pricing.

Vidic, Igor (2012). Numerical methods for option pricing.. Tesis (Master), Facultad de Informática (UPM) [antigua denominación].

Descripción

Título: Numerical methods for option pricing.
Autor/es:
  • Vidic, Igor
Director/es:
  • Amillo Gil, June
Tipo de Documento: Tesis (Master)
Título del máster: Computación Avanzada para Ciencias e Ingenierías
Fecha: 2012
Materias:
Escuela: Facultad de Informática (UPM) [antigua denominación]
Departamento: Matemática Aplicada
Licencias Creative Commons: Reconocimiento - Sin obra derivada - No comercial

Texto completo

[img]
Vista Previa
PDF (Document Portable Format) - Se necesita un visor de ficheros PDF, como GSview, Xpdf o Adobe Acrobat Reader
Descargar (1MB) | Vista Previa

Resumen

This thesis aims to introduce some fundamental concepts underlying option valuation theory including implementation of computational tools. In many cases analytical solution for option pricing does not exist, thus the following numerical methods are used: binomial trees, Monte Carlo simulations and finite difference methods. First, an algorithm based on Hull and Wilmott is written for every method. Then these algorithms are improved in different ways. For the binomial tree both speed and memory usage is significantly improved by using only one vector instead of a whole price storing matrix. Computational time in Monte Carlo simulations is reduced by implementing a parallel algorithm (in C) which is capable of improving speed by a factor which equals the number of processors used. Furthermore, MatLab code for Monte Carlo was made faster by vectorizing simulation process. Finally, obtained option values are compared to those obtained with popular finite difference methods, and it is discussed which of the algorithms is more appropriate for which purpose.

Más información

ID de Registro: 21942
Identificador DC: http://oa.upm.es/21942/
Identificador OAI: oai:oa.upm.es:21942
Depositado por: Biblioteca Facultad de Informatica
Depositado el: 12 Dic 2013 09:05
Ultima Modificación: 08 Feb 2016 09:30
  • InvestigaM
  • GEO_UP4
  • Open Access
  • Open Access
  • Sherpa-Romeo
    Compruebe si la revista anglosajona en la que ha publicado un artículo permite también su publicación en abierto.
  • Dulcinea
    Compruebe si la revista española en la que ha publicado un artículo permite también su publicación en abierto.
  • Recolecta
  • Observatorio I+D+i UPM
  • OpenCourseWare UPM