Multilevel monte carlo method for Asian options under the square root process (Record no. 7263)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 02125nam a22002057a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | CHED |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20240425163253.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 240123b |||||||| |||| 00| 0 eng d |
| 040 ## - CATALOGING SOURCE | |
| Transcribing agency | Commission on Higher Education |
| 050 ## - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | LG 996 2018 C6 K33 |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Kabiri, Azra May B. |
| 245 ## - TITLE STATEMENT | |
| Title | Multilevel monte carlo method for Asian options under the square root process |
| Statement of responsibility, etc. | Azra May B. Kabiri |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Place of publication, distribution, etc. | Diliman, Quezon City |
| Name of publisher, distributor, etc. | : University of the Philippines Diliman |
| Date of publication, distribution, etc. | ,2018. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | vii, 64 pages |
| Dimensions | 29 cm. |
| 500 ## - GENERAL NOTE | |
| General note | Thesis (Master of Science in Applied Mathematics of Finance) -- University of the Philippines Diliman, May 2018. |
| 501 ## - WITH NOTE | |
| With note | Not available for public |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | Asian options are path dependent options whose payoff depends on the average price of an asset. The price of these options are not available in closed form. The multilevel Monte Carlo method is a method for discretization with application of the standard Monte Carlo. This method is easy to implement and has less computational cost than the standard Monte Carlo method. The application of this method in pricing Asian options under geometric Brownian motion has already been studied.<br/> <br/><br/>However, this has not been applied in pricing Asian options under the square root process. In this study, we use multilevel Monte Carlo method to price Asian options under the square root process. We use the Riemman scheme to discretize the temporal integral of the square root process and a simulation algorithm based on the transition density of the square root process to determine the values of the process at a specified time, as needed for the use of the Riemann scheme. We also determine an upper bound of the rate of mean square convergence of the Riemann sum in approximating the temporal integral of the square root process as it is significant in the analysis of the use of multilevel Monte Carlo method. The results are compared with those obtained using standard Monte Carlo in terms of computational cost. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Finance |
| General subdivision | Options (specifically Asian options) |
| -- | Computational methods. |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Library of Congress Classification |
| Koha item type | CHED Funded Research |
| Suppress in OPAC | No |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Use restrictions | Not for loan | Collection | Home library | Current library | Shelving location | Date acquired | Total checkouts | Full call number | Barcode | Date last seen | Copy number | Price effective from | Koha item type |
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| Library of Congress Classification | Restricted Access | Staff collection | Thesis and Dissertation | Commission on Higher Education | Commission on Higher Education | Thesis | 01/23/2024 | LG 996 2018 C6 K33 | CHEDFR-000291 | 01/23/2024 | 1 | 01/23/2024 | CHED Funded Research | ||||
| Library of Congress Classification | Restricted Access | Storage Area | Digital Thesis and Dissertation | Commission on Higher Education | Commission on Higher Education | Digital Thesis and Dissertation | 01/23/2024 | LG 996 2018 C6 K33 | DCHEDFR-000040 | 01/23/2024 | 1 | 01/23/2024 | CHED Funded Research |