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Monte Carlo studies of generalized barrier contracts

<p>This paper examines the pricing of barrier options using Monte Carlo Simulations. MATLAB based software is developed to estimate the price of the option using Monte Carlo simulation. We consider a generalized barrier option of knock out type, but we let the domain take the shape of a rectangular box. We investigate the price of this kind of barrier options. We investigate how the box is placed and what effect it will have on the price of the option. We compare the number of trajectories that are needed in order to achieve the same accuracy between this box barrier option and an ordinary option.</p>

Identiferoai:union.ndltd.org:UPSALLA/oai:DiVA.org:mdh-4317
Date January 2007
CreatorsMuusha, Takura
PublisherMälardalen University, Mälardalen University, Department of Mathematics and Physics, Västerås : Mälardalens högskola
Source SetsDiVA Archive at Upsalla University
LanguageEnglish
Detected LanguageEnglish
TypeStudent thesis, text

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