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dc.contributor.authorMusahara, Angel Herman
dc.date.accessioned2017-09-11T10:56:08Z
dc.date.available2017-09-11T10:56:08Z
dc.date.issued2017
dc.identifier.urihttp://hdl.handle.net/11071/5415
dc.descriptionA Research project submitted in partial fulfillment of the requirements for the Degree of Bachelor of Business Science in Financial Economics at Strathmore Universityen_US
dc.description.abstractThis study examines the rate of convergence and the accuracy of the two primary option pricing methods used currently by professionals; Monte-Carlo and Crank-Nicolson scheme using the Black-Scholes price as the benchmark price. We also introduce the Antithetic variates to the Monte Carlo, to check how much the technique improves the accuracy of the model. A model that converges faster and is accurate will be important in the valuation of large number of options, this will be beneficial to the current and potential investors dealing with large number of options, usually this is the case in practice. Similarly, by control variates technique, we can use our result to improve the accuracy of pricing options that do not have closed form solution such as American options or other exotic options.en_US
dc.language.isoenen_US
dc.publisherStrathmore Universityen_US
dc.subjectMonte-Carloen_US
dc.subjectCrank-Nicolsonen_US
dc.subjectBlack-Scholesen_US
dc.subjectAntithetic variatesen_US
dc.subjectControlen_US
dc.subjectVariatesen_US
dc.titleA Comparative Study of Crank-Nicolson scheme and Monte-Carlo Option Pricingen_US
dc.typeProjectsen_US


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