PRICING EUROPEAN CALL OPTION USING MONTE CARLO METHOD WITH VARIANCE GAMMA

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dc.contributor.authorABDUL. RAHMAN, ANISAH
dc.date.accessioned2016-01-12T03:53:34Z
dc.date.available2016-01-12T03:53:34Z
dc.date.issued2008-05
dc.description.abstractThis research presents a brief introduction to the use of simulation in financial engineering. It focuses on European option pricing. Here, we use Monte Carlo simulation to generate option price. We study algorithms of gamma process and a Variance Gamma process defined as a Brownian process. The Variance Gamma model has analytical fonnula for the values of European calls and puts. These formulae have to be computed using numerical methods. In general, option valuation may require the use of numerical methods including PDE methods, lattice methods and Monte Carlo methods. We investigate the use of Monte Carlo methods in the Variance Gamma model.en_US
dc.identifier.urihttp://hdl.handle.net/123456789/1496
dc.subjectPRICING EUROPEAN CALL OPTION USING MONTE CARLO METHODen_US
dc.titlePRICING EUROPEAN CALL OPTION USING MONTE CARLO METHOD WITH VARIANCE GAMMAen_US
dc.typeThesisen_US
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