Essays about: "Tom Claesson"

Found 1 essay containing the words Tom Claesson.

  1. 1. Estimation methods for Asian Quanto Basket options

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : David Adolfsson; Tom Claesson; [2019]
    Keywords : Monte Carlo simulation; Estimation; Option; Taylor expansion; Sensitivities; Price interpolation; Grid;

    Abstract : All financial institutions that provide options to counterparties will in most cases get involved withMonte Carlo simulations. Options with a payoff function that depends on asset’s value at differenttime points over its lifespan are so called path dependent options. READ MORE