Home > Search Results: keywords:"Monte Catlo methods"
Search:
Search Tips :: Advanced Search
Search collections:
Sort by: Display results: Output format:
National Repository of Grey Literature 1 records found  Search took 0.01 seconds. 
Oceňování opcí pomocí Monte Carlo metod
 Waldeckerová, Naďa ; Witzany, Jiří (advisor) ; Vacek, Vladislav (referee)
This thesis aims to analyse different Monte Carlo methods when applied to the problem of option pricing. Closer attention is paid to three variance reduction techniques, namely control variathes, importance sampling and antithetic variables, and two different approaches, least-squares Monte Carlo and quasi-Monte Carlo methods. The detailed analysis of the differences and improvements is done on a problem of plain vanilla option pricing. At the end the methods are each applied to valuation of different exotic options.
Detailed record

Interested in being notified about new results for this query?
Subscribe to the RSS feed.
Digital Repository :: Search :: Submit :: Personalize :: Help
Powered by Invenio v1.1.2
Maintained by admin.invenio@techlib.cz
This site is also available in the following languages:
Česky  English