| Title |
Barjero sandorių įkainojimas Markovo grandinėmis |
| Translation of Title |
Barrier option pricing by a Markov chain. |
| Authors |
Legenzovaitė, Laura |
| Full Text |
|
| Pages |
44 |
| Keywords [eng] |
barrier option ; exotic option ; Markov chain ; Markov chain method ; pricing |
| Abstract [eng] |
In this paper a possibility of pricing discrete barrier options by a Markov chain was analyzed. In order to evaluate the precision of the Markov chain method analytical formulas based on the Black and Scholes options' pricing theory with a correction method relating continiuos and discrete monitoring were used. Also an efficiency test of the Markov chain method comparing to the crude Monte Carlo simulation was made. |
| Type |
Master thesis |
| Language |
Lithuanian |
| Publication date |
2012 |
