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Valuation of exotic options under the Constant Elasticity of Variance model by exact Monte Carlo simulation: A MATLAB GUI application
Mälardalen University, School of Education, Culture and Communication.
Mälardalen University, School of Education, Culture and Communication.
2010 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

Diffusions are broadly used in mathematical finance for modeling asset prices. We consider the exact path sampling of a constant elasticity of variance diffusion model obtained from a squared Bessel process. We have created a MATLAB GUI (Graphical User Interface) program to evaluate exotic options under the constant elasticity model by exact Monte Carlo simulation. The procedure and the mathematical background behind constructing the program are described and explained. We show the results obtained and an analysis is made based on the MATLAB program.

Place, publisher, year, edition, pages
2010. , 54 p.
National Category
Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-26141OAI: oai:DiVA.org:mdh-26141DiVA: diva2:757034
Subject / course
Mathematics/Applied Mathematics
Supervisors
Available from: 2014-10-22 Created: 2014-10-20 Last updated: 2014-10-22Bibliographically approved

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fulltext(1667 kB)368 downloads
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Type fulltextMimetype application/pdf

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CiteExportLink to record
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Citation style
  • apa
  • ieee
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  • de-DE
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  • en-US
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  • nn-NB
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Output format
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