Essays about: "Oscar Dahlblom"

Found 1 essay containing the words Oscar Dahlblom.

  1. 1. Control Variates for Monte Carlo-Pricing of Three-Asset Spread Options with Application in the Energy Markets

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Oscar Dahlblom; [2016]
    Keywords : energy markets; quantitative finance; Monte carlo simulation; control variates; option pricing; spread options; three assets; Business and Economics;

    Abstract : The purpose of this paper is to compare a collection of control variates for Monte Carlo-valuation of spread options on three assets with a view towards energy markets and to lay a foundation for continued research on control variates, e.g. combinations of control variates and adaption for quasi-Monte Carlo. READ MORE