000			02125nam a22002057a 4500
003			CHED
005			20240425163253.0
008			240123b |||||||| |||| 00| 0 eng d
040			_cCommission on Higher Education
050			_aLG 996 2018 C6 K33
100			_aKabiri, Azra May B.
245			_aMultilevel monte carlo method for Asian options under the square root process _cAzra May B. Kabiri
260			_aDiliman, Quezon City _b : University of the Philippines Diliman _c,2018.
300			_avii, 64 pages _c29 cm.
500			_aThesis (Master of Science in Applied Mathematics of Finance) -- University of the Philippines Diliman, May 2018.
501			_aNot available for public
520			_aAsian 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. 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			_aFinance _xOptions (specifically Asian options) _xComputational methods.
942			_2lcc _cCHEDFR _n0
999			_c7263 _d7263