Financial derivative pricing under probability operator via Esscher transfomation

2014 ◽  
Author(s):  
Godswill U. Achi
Keyword(s):  
Derivative Pricing ◽  
Financial Derivative ◽  
Probability Operator

scholarly journals A Comparative Analysis of Monte Carlo and Quasi-Monte Carlo Methods in Financial Derivative Pricing

2021 ◽  
Vol 69 (1) ◽  
pp. 1-6
Author(s):  
SM Arif Hossen ◽  
ABM Shahadat Hossain
Keyword(s):  
Monte Carlo ◽  
Comparative Analysis ◽  
Monte Carlo Methods ◽  
American Options ◽  
Financial Derivatives ◽  
Numerical Results ◽  
Derivative Pricing ◽  
Quasi Monte Carlo ◽  
Financial Derivative ◽  
Path Dependent

The main purpose of this dissertation is to study Monte Carlo (MC) and Quasi-Monte Carlo (QMC) methods for pricing financial derivatives. We estimate the Price of European as well as various path dependent options like Asian, Barrier and American options by using these methods. We also compute the numerical results by the above mentioned methods and compare them graphically as well with the help of the MATLAB Coding. Dhaka Univ. J. Sci. 69(1): 1-6, 2021 (January)

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