Original title: Možnosti tvorby cen pomocí simulace Monte Carlo
Translated title: Pricing Options Using Monte Carlo Simulation
Authors: Dutton, Ryan ; Dědek, Oldřich (advisor) ; Červinka, Michal (referee)
Document type: Bachelor's theses
Year: 2019
Language: eng
Abstract: Monte Carlo simulation is a valuable tool in computational finance. It is widely used to evaluate portfolio management rules, to price derivatives, to simulate hedging strategies, and to estimate Value at Risk. The purpose of this thesis is to develop the mathematical foundation and an algorithmic structure to carry out Monte Carlo simulation to price a European call option, investigate Black-Scholes model to look into the parallel between Monte Carlo simulation and Black-Scholes model, provide a solution for Black-Scholes model using Lognormal distribution of a stock price rather than solving Black-Scholes original partial differential equation, and finally compare the results of Monte Carlo simulation with Black- Scholes closed-form formula. Author's contribution can be best described as developing the mathematical foundation and the algorithm for Monte Carlo simulation, comparing the simulation results with the Black-Scholes model, and investigating how path-dependent options can be implemented using simulation when closed-form formulas may not be available. JEL Classification C02, C6, G12, G17 Keywords Monte Carlo simulation, Option pricing, Black-Scholes model Author's e-mail ryandutton4@gmail.com Supervisor's e-mail oldrich.dedek@fsv.cuni.cz
Keywords: Black-Scholes model; Monte Carlo simulation; option pricing

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/109435

Permalink: http://www.nusl.cz/ntk/nusl-405125


The record appears in these collections:
Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Bachelor's theses
 Record created 2019-10-19, last modified 2019-12-09


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