As for the Monte Carlo Method, we first introduce a brief history of the method and pricing options by using the method. Secondly, the basic idea of using the method in computing option price is described. Thirdly, pricing vanilla options is introduced. Fourthly, we discuss some techniques of improving computing accuracy. They include antithetic variables, control variate methods and importance sampling. / Fifth, we study in detail pricing option problems by using the Monte Carlo method. Then we present a new method on pricing American option, by which, the required memory in computation can be significantly reduced. For most methods of pricing American options, bias exists. However, by using the memory reduction method, minimizing biases is possible. We also discuss the problem for valuation of multiasset options by using our method. In fact, this is an important application of the Monte Carlo method in practical financial problems. / Finally, comparisons of the performances of these numerical results are presented. / Some basic concepts on options are first introduced. Then general methods for pricing options are described. These methods include: analytical formula, finite difference methods and binomial and multinomial methods. These prepare us for the in-depth study on the Monte Carlo method in subsequent chapters. / The Monte Carlo approach has proved to be a valuable and flexible computational tool in modern finance. The Monte Carlo method is the main topic of the thesis. / by Chen Yong. / "August 2002." / Adviser: Raymond Chan. / Source: Dissertation Abstracts International, Volume: 63-10, Section: B, page: 4710. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2002. / Includes bibliographical references (p. 77-79). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest Information and Learning Company, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts in English and Chinese. / School code: 1307.
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_343187 |
| Date | January 2002 |
| Contributors | Chen, Yong, Chinese University of Hong Kong Graduate School. Division of Mathematics. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, theses |
| Format | electronic resource, 1 online resource (vii, 79 p. : ill.) |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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