Essays about: "Jonathan Schöön"

Found 1 essay containing the words Jonathan Schöön.

  1. 1. Pricing Put Options with Multilevel Monte Carlo Simulation

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Jonathan Schöön; [2021]
    Keywords : Multilevel Monte Carlo Simulation”; ”European Put Option Pricing” ”Stochastic Differential Equations;

    Abstract : Monte Carlo path simulations are common in mathematical and computational finance as a way of estimating the expected values of a quantity such as a European put option, which is functional to the solution of a stochastic differential equation (SDE). The computational complexity of the standard Monte Carlo (MC) method grows quite large quickly, so in this thesis we focus on the Multilevel Monte Carlo (MLMC) method by Giles, which uses multigrid ideas to reduce the computational complexity. READ MORE