Pricing exotic options using C++

Nhongo, Tawuya D R

Title: Pricing exotic options using C++
Creator: Nhongo, Tawuya D R
Subject: C++ (Computer program language)
Subject: Monte Carlo method
Subject: Simulation methods
Subject: Options (Finance) -- Mathematical models
Subject: Pricing -- Mathematical models
Date Issued: 2007
Date: 2007
Type: Thesis
Type: Masters
Type: MSc
Identifier: vital:5577
Identifier: http://hdl.handle.net/10962/d1008373
Identifier: C++ (Computer program language)
Identifier: Monte Carlo method
Identifier: Simulation methods
Identifier: Options (Finance) -- Mathematical models
Identifier: Pricing -- Mathematical models
Description: This document demonstrates the use of the C++ programming language as a simulation tool in the efficient pricing of exotic European options. Extensions to the basic problem of simulation pricing are undertaken including variance reduction by conditional expectation, control and antithetic variates. Ultimately we were able to produce a modularized, easily extend-able program which effectively makes use of Monte Carlo simulation techniques to price lookback, Asian and barrier exotic options. Theories of variance reduction were validated except in cases where we used control variates in combination with the other variance reduction techniques in which case we observed increased variance. Again, the main aim of this half thesis was to produce a C++ program which would produce stable pricings of exotic options.
Format: 89 leaves
Format: pdf
Publisher: Rhodes University
Publisher: Faculty of Science, Statistics
Language: English
Rights: Nhongo, Tawuya D R

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