Politecnico di Torino (logo)

Asian Option pricing methods Construction and Realization

Xinyang Long

Asian Option pricing methods Construction and Realization.

Rel. Patrizia Semeraro. Politecnico di Torino, Corso di laurea magistrale in Ingegneria Gestionale (Engineering And Management), 2021

PDF (Tesi_di_laurea) - Tesi
Licenza: Creative Commons Attribution Non-commercial No Derivatives.

Download (1MB) | Preview

Options as one of the most important financial derivatives that help investors to hedge investment risk or avoid market risks. And for pricing, the options researchers have worked for decades, some main pricing methods are usually adept into the real market. In this thesis, we will focus on the Asian option which underlying the asset without dividend. In Section 1, We have introduced options and stock prices. Based on the detailed knowledge, the BSM model has been carefully introduced as well as the foundation theorem Itô’s formula. The last part of Section 1 is mainly focused on the derivation of the BSM model for the European option that provides basic equations for the Asian one. In Section 2, we firstly clarified the Asian option and the difference with the European option. After that, there are two types of Asian options as well as pricing methods that have been provided as the BSM model gives the basic solution of Asian option pricing. However, with the development of computer science, the Monte Carlo method is widely used in pricing options now. So that, Section 3 is mainly presenting the relative content of the Monte Carlo method. It contains the introduction of the Monte Carlo method for option pricing, and for easy understanding, a small part of given a slight introduction about how the Monte Carlo simulation works have been created as well. In the last section, we introduce a set of real data from the trading market for the modified BSM model and the Monte Carlo method to pricing, the aim is to test the feasibility of the above methods.

Relators: Patrizia Semeraro
Academic year: 2021/22
Publication type: Electronic
Number of Pages: 39
Corso di laurea: Corso di laurea magistrale in Ingegneria Gestionale (Engineering And Management)
Classe di laurea: New organization > Master science > LM-31 - MANAGEMENT ENGINEERING
Aziende collaboratrici: Politecnico di Torino
URI: http://webthesis.biblio.polito.it/id/eprint/20278
Modify record (reserved for operators) Modify record (reserved for operators)