Random-walk model for valuing path-dependent financial instruments

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dc.contributor.advisorMontero Torralbo, Miquel
dc.contributor.authorMartínez Fernàndez, Josep
dc.date.accessioned2018-10-05T14:32:19Z
dc.date.available2018-10-05T14:32:19Z
dc.date.issued2018-06
dc.descriptionTreballs Finals de Grau de Física, Facultat de Física, Universitat de Barcelona, Curs: 2018, Tutor: Miquel Montero Torralboca
dc.description.abstractIn 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 profitca
dc.format.extent5 p.
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/2445/125093
dc.language.isoengca
dc.rightscc-by-nc-nd (c) Martínez, 2018
dc.rights.accessRightsinfo:eu-repo/semantics/openAccessca
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.sourceTreballs Finals de Grau (TFG) - Física
dc.subject.classificationInstruments financerscat
dc.subject.classificationMètode de Montecarlocat
dc.subject.classificationTreballs de fi de graucat
dc.subject.otherFinancial instrumentseng
dc.subject.otherMonte Carlo methodeng
dc.subject.otherBachelor's theseseng
dc.titleRandom-walk model for valuing path-dependent financial instrumentseng
dc.typeinfo:eu-repo/semantics/bachelorThesisca

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