Κατεύθυνση Στατιστική και Επιχειρησιακή Έρευνα
Library of the School of Science

2015-06-30

2015

Ζωσιμάς Ζωσιμάς

Απόστολος Μπουρνέτας (Καθηγητής - επιβλέπων καθηγητής), Αθανάσιος Γιαννακόπουλος (Καθηγητής), Κωνσταντίνος Μηλολιδάκης (Αναπληρωτής Καθηγητής)

Υπολογιστικές Μέθοδοι σε Χρηματοοικονομικά Προβλήματα Αποτίμησης Τίτλων

Greek

Computational Methods in Asset Valuation Problems

The dramatic development of the financial sector in the recent years has
resulted in the creation of new financial assets and the further development of
already existing ones. A consequence is the use of options on a regular basis.
Because of the large values traded a close scrutinization of this asset is
absolutely necessary. Taking the above into consideration, our objective is the
study of options and more specifically of American options, by presenting and
implementing various pricing methods. We present the binomial lattice model and
the extrapolation method using Richardson extrapolation. We examine the random
tree method. This method produces two consistent and asymptotically unbiased
estimators. In order to improve the effectiveness we use enhancement techniques
e.g. antithetic variables and Latin hypercube sampling. Furthermore, we analyze
the parametric approximations method. With this method, we find the best value
within a parametric class. Moreover we discuss the state – space partitioning
method by using finite – state dynamic programming. The latter three methods
are tested for various options and the results are compared for different
values of the parameters.

Option pricing, American option, Monte Carlo simulation, Dynamic programming, Financial engineering

Yes

xi-xiv

Yes

35

xiv,143

File access is restricted.

https://pergamos.lib.uoa.gr/uoa/dl/object/1320590