Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/14390
Title: An interpolation approach for option pricing
Authors: ZONG JIANPING
Keywords: cubic spline interpolation, option pricing, Least Square Monte Carlo
Issue Date: 1-Dec-2004
Source: ZONG JIANPING (2004-12-01). An interpolation approach for option pricing. ScholarBank@NUS Repository.
Abstract: In this thesis we propose an interpolation approach for option pricing. Monte Carlo simulation techniques are incorporated inthis approach when the underlying asset(say stock) follows a complex Ito process. We apply this approach to standardEuroean/Ameican put options and European/American put options onminimum of two assets. Numerical results demonstrate the advantage of the approach. In addition, we propose using quadratic functionsas basis functions in the Least Square Monte Carlo algorithms. The numerical results of American max-options and geometric average rate options indicate the viability of our choice.
URI: http://scholarbank.nus.edu.sg/handle/10635/14390
Appears in Collections:Master's Theses (Open)

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