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Pricing American-style options by Monte Carlo method.

by Wong Chi Yan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2002. / Includes bibliographical references (leaves 38-39). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Introduction --- p.1 / Chapter 1.2 --- Monte Carlo Method --- p.2 / Chapter 1.3 --- Outline of Thesis --- p.5 / Chapter 2 --- The Random Number Generators --- p.7 / Chapter 2.1 --- Built-in Random Number Generating Functions --- p.7 / Chapter 2.2 --- Linear Congruential Generators --- p.8 / Chapter 3 --- Memory Reduction Methods --- p.10 / Chapter 3.1 --- The Full-Storage Method --- p.10 / Chapter 3.2 --- The Forward-Path Method --- p.12 / Chapter 3.3 --- The Backward-Path Method --- p.14 / Chapter 4 --- The Least-Squares Method --- p.17 / Chapter 5 --- Numerical Examples --- p.28 / Chapter 6 --- Concluding Remarks --- p.34 / Appendix --- p.36 / Bibliography --- p.38

Identiferoai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_323865
Date January 2002
ContributorsWong, Chi Yan, Chinese University of Hong Kong Graduate School. Division of Mathematics.
Source SetsThe Chinese University of Hong Kong
LanguageEnglish, Chinese
Detected LanguageEnglish
TypeText, bibliography
Formatprint, vii, 39 leaves : ill. ; 30 cm.
CoverageUnited States
RightsUse 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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