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Numerical methods for pricing basket options

Iancu, Aniela Karina
http://rave.ohiolink.edu/etdc/view?acc_num=osu1078324809

Abstract Details

2004, Doctor of Philosophy, Ohio State University, Mathematics.
Most of the time, when pricing financial instruments, it is impossible to find closed form solutions for their values. Finding numerical solutions for the governing pricing equations becomes therefore an appealing approach to pricing, especially since powerful desktop computers are now available. In this paper we demonstrate how two of the main numerical methods known today—the finite differences method and the Monte Carlo simulation — can be used for pricing discretely measured lookback basket options. We also take a look at one of the most competitive markets today, The Individual Variable Annuity marketplace, at some of the currently sold death benefits and how they are related to the lookback put options.
Bostwick Wyman (Advisor)
81 p.
Mathematics
Numerical Methods; Option Pricing

Recommended Citations

Citations

  • Iancu, A. K. (2004). Numerical methods for pricing basket options [Doctoral dissertation, Ohio State University]. OhioLINK Electronic Theses and Dissertations Center. http://rave.ohiolink.edu/etdc/view?acc_num=osu1078324809

    APA Style (7th edition)

  • Iancu, Aniela. Numerical methods for pricing basket options. 2004. Ohio State University, Doctoral dissertation. OhioLINK Electronic Theses and Dissertations Center, http://rave.ohiolink.edu/etdc/view?acc_num=osu1078324809.

    MLA Style (8th edition)

  • Iancu, Aniela. "Numerical methods for pricing basket options." Doctoral dissertation, Ohio State University, 2004. http://rave.ohiolink.edu/etdc/view?acc_num=osu1078324809

    Chicago Manual of Style (17th edition)

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© 2004, all rights reserved.
This open access ETD is published by The Ohio State University and OhioLINK.