In this manuscript, we develop a nite liquidity framework for two-asset
markets. In contrast to the standard multi-asset Black-Scholes framework,
trading in our market model has a direct impact on the asset's price. The
price impact is incorporated into the dynamics of the first asset through a
specific trading strategy, as in large trader liquidity models. We adopt Euler-
Maruyama and Milstein scheme in the simulation of asset prices. Exchange
and Spread option values are numerically estimated by Monte Carlo with the
Margrabe option as a controlled variate. The time complexity of these numerical
schemes is included. Finally, we provide some deep learning frameworks
to implement these pricing models effectively. / Thesis / Master of Science (MSc)
| Identifer | oai:union.ndltd.org:mcmaster.ca/oai:macsphere.mcmaster.ca:11375/25847 |
| Date | January 2020 |
| Creators | Kevin Shuai Zhang |
| Contributors | Pirvu, Traian, Mathematics and Statistics |
| Source Sets | McMaster University |
| Language | English |
| Detected Language | English |
| Type | Thesis |
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