Investigation and Improvement of Option Valuation in Monte Carlo Method

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Investigation and Improvement of Option Valuation in Monte Carlo Method

This paper attempts to study and explore the most commonly used option pricing models. As we will see in Chapter 2, the classic Black-Scholes model, the jump diffusion model, the binary tree model, and the Monte-Carlo valuation method are widely used for option pricing. A large amount of empirical e...

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Bibliographic Details
Main Author:	Song, Ying
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2019
Online Access:	https://eprints.nottingham.ac.uk/58029/

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