A simulation study of path-dependent options : a distribution approach
by Zhifeng Wang
THESIS
2000
M.Phil. Mathematics
vii, 62 leaves : ill. ; 30 cm
Abstract
This paper is concentrated on Brownian motion, its strong Markov property, reflection principle, Brownian martingales. and change of measure theorem.
Then by change of measure theorem, we derive the distribution of the extremum of Brownian motion with drift.
As an application of the above theory, we simulate the price of some path-dependent options by the conditional distribution of extremum.
We give the computation results by SAS (The Statistical Analysis System Package).
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