Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/125093
Title: Random-walk model for valuing path-dependent financial instruments
Author: Martínez Fernàndez, Josep
Director/Tutor: Montero Torralbo, Miquel
Keywords: Instruments financers
Mètode de Montecarlo
Treballs de fi de grau
Financial instruments
Monte Carlo method
Bachelor's thesis
Issue Date: Jun-2018
Abstract: In this paper we shall model the evolution of a market evolving within the framework of the non-arbitrage binomial pricing asset model using a Monte Carlo-based algorithm. Our goal is to study the value of an actual path-dependent structured financial product, so we can create a commercial strategy and commercialize it. To do this we study the sensibility of the product when we vary its defining parameters, so we understand how its price depends on them and we can adjust the parameters to profit
Note: Treballs Finals de Grau de Física, Facultat de Física, Universitat de Barcelona, Curs: 2018, Tutor: Miquel Montero Torralbo
URI: http://hdl.handle.net/2445/125093
Appears in Collections:Treballs Finals de Grau (TFG) - Física

Files in This Item:
File Description SizeFormat 
Martinez Fernández Josep.pdf456.18 kBAdobe PDFView/Open


This item is licensed under a Creative Commons License Creative Commons