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Martinez Fernández Josep.pdf (456.18 KB)

Document type

Bachelor thesis

Publication date

2018-06

Publication license

cc-by-nc-nd (c) Martínez, 2018
Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/125093

Random-walk model for valuing path-dependent financial instruments

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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

Description

Treballs Finals de Grau de Física, Facultat de Física, Universitat de Barcelona, Curs: 2018, Tutor: Miquel Montero Torralbo

Subject

Instruments financers, Mètode de Montecarlo, Treballs de fi de grau

Subject (English)

Financial instruments, Monte Carlo method, Bachelor's theses

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Treballs Finals de Grau (TFG) - Física

Citation

MARTÍNEZ FERNÀNDEZ, Josep. Random-walk model for valuing path-dependent financial instruments. [consulted: 13 of August of 2026]. Available at: https://hdl.handle.net/2445/125093

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