Essays about: "Sabina Colakovic"

Found 1 essay containing the words Sabina Colakovic.

  1. 1. Multilevel Monte Carlo Simulation for American Option Pricing

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

    Author : Sabina Colakovic; Viktor Ågren; [2021]
    Keywords : Multilevel Monte Carlo simulation; Stochastic Differential Equations; Option pricing.;

    Abstract : In this thesis, we center our research around the analytical approximation of American put options with the Multilevel Monte Carlo simulation approach. The focus lies on reducing the computational complexity of estimating an expected value arising from a stochastic differential equation. READ MORE