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DC Field | Value | Language |
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dc.contributor.author | Joplin, George A. | - |
dc.date.accessioned | 2012-05-23T19:59:42Z | - |
dc.date.available | 2012-05-23T19:59:42Z | - |
dc.date.issued | 2011-05 | - |
dc.identifier.uri | http://hdl.handle.net/10267/13670 | - |
dc.description | George A. Joplin granted permission for his paper to be published in DLynx. He submitted at PDF copy of his paper. | en_US |
dc.description.abstract | In the standard time-inhomogeneous di usion model, estimation of the volatility function is far more important for Monte Carlo pricing than estimation of the drift function (due to a standard application of Girsanov's Theorem). As such, we study the distribution of option prices under the uncertainty of volatility function estimation. First, we run Monte Carlo simulations to price a variety of options using a xed estimate of the volatility function. Then, we run Monte Carlo simulations to price a variety of options using a bootstrapped re-estimation of volatility function in each Monte Carlo trial. The di erences in the resulting distributions of option prices may have implications for thinking about the bid-ask spread on an option price, and can be compared to historical data to gain a more complete perspective on the acceptability of various American-style option prices. Description: George Joplin granted permission for the digitization of this paper. It was submitted by CD. | en_US |
dc.publisher | Memphis, Tenn. : Rhodes College | en_US |
dc.rights | Rhodes College owns the rights to the archival digital images in this collection. Images are made available for educational use only and may not be used for any non-educational or commercial purpose. Approved educational uses include private research and scholarship, teaching, and student projects. Original copies of the programs are stored in the Rhodes College Archives. In all instances of use, acknowledgement must be given to Rhodes College Archives Digital Repository, Memphis, TN. For information regarding permission to use this image, please email the Archives at archives@rhodes.edu | - |
dc.subject | Text | - |
dc.subject | Honors papers | en_US |
dc.subject | Mathematics and Computer Science, Department of | en_US |
dc.subject | Economics, Department of | en_US |
dc.subject | Student research | en_US |
dc.title | Monte Carlo Pricing of Derivative Securities and Uncertainty in Volatility Estimation | en_US |
dc.type | Thesis | en_US |
Appears in Collections: | Honors Papers |
Files in This Item:
File | Description | Size | Format | |
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Joplin_George_Honors_2011[1].pdf | 806.6 kB | Adobe PDF | View/Open |
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