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Monte Carlo strategies in option pri...

Yin, Leicheng.

Monte Carlo strategies in option pricing for SABR model.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	Monte Carlo strategies in option pricing for SABR model./
Author:	Yin, Leicheng.
Description:	1 online resource (90 pages)
Notes:	Source: Dissertation Abstracts International, Volume: 77-11(E), Section: B.
Contained By:	Dissertation Abstracts International77-11B(E).
Subject:	Statistics. -
Online resource:	click for full text (PQDT)
ISBN:	9781339809182

Monte Carlo strategies in option pricing for SABR model.
Yin, Leicheng.

Monte Carlo strategies in option pricing for SABR model. - 1 online resource (90 pages)

Source: Dissertation Abstracts International, Volume: 77-11(E), Section: B.

Thesis (Ph.D.)

Includes bibliographical references

Option pricing problems have always been a hot topic in mathematical finance. The SABR model is a stochastic volatility model, which attempts to capture the volatility smile in derivatives markets. To price options under SABR model, there are analytical and probability approaches. The probability approach i.e. the Monte Carlo method suffers from computation inefficiency due to high dimensional state spaces. In this work, we adopt the probability approach for pricing options under the SABR model. The novelty of our contribution lies in reducing the dimensionality of Monte Carlo simulation from the high dimensional state space (time series of the underlying asset) to the 2-D or 3-D random vectors (certain summary statistics of the volatility path).

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018

Mode of access: World Wide Web

ISBN: 9781339809182Subjects--Topical Terms:

556824
Statistics.
Index Terms--Genre/Form:

554714
Electronic books.

Monte Carlo strategies in option pricing for SABR model.
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020 $a 9781339809182
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035 $a AAI10119727
040 $a MiAaPQ $b eng $c MiAaPQ
099 $a TUL $f hyy $c available through World Wide Web
100 1 $a Yin, Leicheng. $3 1179066
245 1 0 $a Monte Carlo strategies in option pricing for SABR model.
264 0 $c 2016
300 $a 1 online resource (90 pages)
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
500 $a Source: Dissertation Abstracts International, Volume: 77-11(E), Section: B.
500 $a Adviser: Chuanshu Ji.
502 $a Thesis (Ph.D.) $c The University of North Carolina at Chapel Hill $d 2016.
504 $a Includes bibliographical references
520 $a Option pricing problems have always been a hot topic in mathematical finance. The SABR model is a stochastic volatility model, which attempts to capture the volatility smile in derivatives markets. To price options under SABR model, there are analytical and probability approaches. The probability approach i.e. the Monte Carlo method suffers from computation inefficiency due to high dimensional state spaces. In this work, we adopt the probability approach for pricing options under the SABR model. The novelty of our contribution lies in reducing the dimensionality of Monte Carlo simulation from the high dimensional state space (time series of the underlying asset) to the 2-D or 3-D random vectors (certain summary statistics of the volatility path).
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2018
538 $a Mode of access: World Wide Web
650 4 $a Statistics. $3 556824
650 4 $a Finance. $3 559073
655 7 $a Electronic books. $2 local $3 554714
690 $a 0463
690 $a 0508
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a The University of North Carolina at Chapel Hill. $b Statistics and Operations Research. $3 1179067
773 0 $t Dissertation Abstracts International $g 77-11B(E).
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10119727 $z click for full text (PQDT)

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