Valuing American Asian Options with Least Squares Monte Carlo and Low Discrepancy Sequences

dc.contributor.advisorMare, Eben
dc.contributor.emailu29104514@tuks.co.zaen_ZA
dc.contributor.postgraduateVan Niekerk, Andries Jacobus
dc.date.accessioned2019-02-15T06:42:12Z
dc.date.available2019-02-15T06:42:12Z
dc.date.created2019-04-06
dc.date.issued2018
dc.descriptionDissertation (MSc)--University of Pretoria, 2018.en_ZA
dc.description.abstractThere exists no closed form approximation for arithmetically calculated Asian options, but research has shown that closed form approximations are possible for Geometrically calculated Asian options. The aim of this dissertation is to effectively price American Asian options with the least squares Monte Carlo approach (Longstaff & Schwartz, 2001), applying Low discrepancy sequences and variance reduction techniques. We evaluate how these techniques affect the pricing of American options and American Asian options in terms of accuracy, computational efficiency, and computational time used to implement these techniques. We consider the effect of, Laguerre-, weighted Laguerre- , Hermite-, and Monomial-basis functions on the Longstaff and Schwartz (2001) model. We briefly investigate GPU optimization of the Longstaff and Schwartz algorithm within Matlab. We also graph the associated implied and Local volatility surfaces of the American Asian options to assist in the practical applicability of these options.en_ZA
dc.description.availabilityUnrestricteden_ZA
dc.description.degreeMScen_ZA
dc.description.departmentMathematics and Applied Mathematicsen_ZA
dc.identifier.citationVan Niekerk, AJ 2018, Valuing American Asian Options with Least Squares Monte Carlo and Low Discrepancy Sequences, MSc Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/68463>en_ZA
dc.identifier.otherA2019
dc.identifier.urihttp://hdl.handle.net/2263/68463
dc.language.isoenen_ZA
dc.publisherUniversity of Pretoria
dc.rights© 2018 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria.
dc.subjectUCTD
dc.titleValuing American Asian Options with Least Squares Monte Carlo and Low Discrepancy Sequencesen_ZA
dc.typeDissertationen_ZA

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