2021-03-01T21:32:29Z
http://oa.upm.es/cgi/oai2
oai:oa.upm.es:21942
2016-02-08T09:30:14Z
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Numerical methods for option pricing.
Vidic, Igor
Amillo Gil, June
Mathematics
Computer Science
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.
Facultad de Informática (UPM)
http://creativecommons.org/licenses/by-nc-nd/3.0/es/
2012
Thesis de Master
info:eu-repo/semantics/masterThesis
PeerReviewed
application/pdf
eng
info:eu-repo/semantics/openAccess
http://oa.upm.es/21942/