Browsing Statistics and Actuarial Science by Subject "Asian Option"
Now showing items 1-2 of 2
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An Efficient Quasi-Monte Carlo Simulation for Pricing Asian Options under Heston's Model
(University of Waterloo, 2015-09-11)The market for path-dependent options has been expanded considerably in the financial industry. The approach for pricing the path-dependent options in this thesis is developed by Kolkiewicz (2014) based on a quasi-Monte ... -
An Optimized Least Squares Monte Carlo Approach to Calculate Credit Exposures for Asian and Barrier Options
(University of Waterloo, 2015-09-16)Counterparty credit risk management has become an important issue for financial institutions since the Basel III framework was introduced. Expected exposure (EE) is defined as the average (positive) exposure at a future ...