Option Pricing on Backward-Looking Rates

This thesis is devoted to option pricing on backward-looking rates. For the last decades, interest rate products were often linked to IBOR rates. IBORs are short-term borrowing rates charged between global banks in the unsecured interbank market. The purpose of this thesis is to compare the Hull-White model to the Black-Karasinski model for the...

Het prijzen van Bitcoin-opties met behulp van sprong-diffusie processen

Pricing American options using the Stochastic Grid Method with Bundling

Pricing American options using a sophisticated technique combining Monte Carlo simulations and least squares regressions. This way an approximation for the option price can be derived with little computational effort.

An advanced Monte Carlo method for the multi-asset Heston model

In this thesis, an extension of the Heston model to the multi-dimensional case will be investigated. Most attention will be given to design a multi-asset Monte Carlo method, which can efficiently simulate multivariate random variables with almost no bias. The prevention of negative variance in the discretization method will be a challenge, as...

Effcient Simulation and Valuation of Embedded Options using Monte Carlo Simulations