Monte Carlo metode za vrednotenje ameriških opcij : magistrsko delo

Grča, Rok (author), Knez, Marjetka (mentor)

• Language: Slovenian
• Keywords: Monte Carlo, ameriška opcija, Brownovo gibanje, stohastično drevo, stohastična mreža, Longstaff-Schwartzev algoritem
• Work type: Master's thesis/paper
• Typology: 2.09 - Master's Thesis
• Organization: FMF - Faculty of Mathematics and Physics
• Place of publishing: Ljubljana
• Publisher: [R. Grča]
• Year: 2018
• Number of pages: III, 52 str.
• PID: 20.500.12556/RUL-101173
• UDC: 519.21
• COBISS.SI-ID: 18361945
• Publication date in RUL: 09.05.2018

Secondary language

• Language: English
• Title: Monte Carlo methods for American option pricing
• Keywords: Monte Carlo, american option, Brownian motion, stochastic tree, stochastic mesh, Longstaff-Schwartz algorithm