A Study in Hybrid Monte Carlo Methods in Computing Derivative Prices

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atmire.migration.oldid467
dc.contributor.advisorWare, Antony
dc.contributor.authorWang, Binbin
dc.date.accessioned2012-12-05T22:34:53Z
dc.date.available2013-06-15T07:01:36Z
dc.date.issued2012-12-05
dc.date.submitted2012en
dc.description.abstractHybrid Monte Carlo (HMC) method is defined in this thesis as Monte Carlo method that utilizes conditional expectation so that the regular Monte Carlo method and other computational methods can be combined to price financial derivatives. This thesis introduces several hybrid Monte Carlo methods and studies the algorithm and efficiency of these methods, which include three methods combining Monte Carlo with fast Fourier transform, cosine series, and Black-Scholes formula respectively. These methods can be considered as ways of variance reduction. The thesis also introduces a new variance reduction method using orthogonal transformation which further reduces the variance. It is shown in this thesis that the HMC methods can significantly improve the efficiency when compared to the regular Monte Carlo method. A basket option example is used throughout this thesis for implementation and efficiency comparison.en_US
dc.identifier.citationWang, B. (2012). A Study in Hybrid Monte Carlo Methods in Computing Derivative Prices (Master's thesis, University of Calgary, Calgary, Canada). Retrieved from https://prism.ucalgary.ca. doi:10.11575/PRISM/25039en_US
dc.identifier.doihttp://dx.doi.org/10.11575/PRISM/25039
dc.identifier.urihttp://hdl.handle.net/11023/335
dc.language.isoeng
dc.publisher.facultyGraduate Studies
dc.publisher.institutionUniversity of Calgaryen
dc.publisher.placeCalgaryen
dc.rightsUniversity of Calgary graduate students retain copyright ownership and moral rights for their thesis. You may use this material in any way that is permitted by the Copyright Act or through licensing that has been assigned to the document. For uses that are not allowable under copyright legislation or licensing, you are required to seek permission.
dc.subjectEconomics--Finance
dc.subjectMathematics
dc.subject.classificationHybrid Monte Carloen_US
dc.subject.classificationFinancial derivativesen_US
dc.subject.classificationMonte Carloen_US
dc.subject.classificationEfficiencyen_US
dc.subject.classificationVariance Reductionen_US
dc.subject.classificationBasket optionsen_US
dc.titleA Study in Hybrid Monte Carlo Methods in Computing Derivative Prices
dc.typemaster thesis
thesis.degree.disciplineMathematics and Statistics
thesis.degree.grantorUniversity of Calgary
thesis.degree.nameMaster of Science (MSc)
ucalgary.item.requestcopytrue
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