MVEX01-17-13 Path dependent derivative securities: A numerical investigation

​The purpose of this project is to analyse numerically the properties of financial derivatives whose pay-off depends on the path of the stock price up to maturity. Examples of such derivatives are Asian options, barrier options and look back options.  Due to the large number of possible paths of the stock price, a probabilistic numerical method (Monte Carlo method) will be implemented.
 
This project is suitable for students in technical mathematics and industrial economy.​
 
Obs! För GU-studenter räknas projektet som ett projekt i Tillämpad Matematik (MMG900/MMG920). 
 
Projektkod MVEX01-17-13
 
Gruppstorlek 2-3 studenter
 
Förkunskapskrav Options and Mathematics (MVE095) and good knowledge in Matlab
 
Handledare Simone Calogero, calogero@chalmers.se​
 
Examinator Maria Roginskaya, Marina Axelson-Fisk
 
Institution Matematiska Vetenskaper 

Publicerad: on 26 okt 2016. Ändrad: ti 08 jan 2019