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Monte Carlo-simulering och värdering av amerikanska aktieoptioner
Stockholm University, Faculty of Social Sciences, School of Business.
Stockholm University, Faculty of Social Sciences, School of Business.
2001 (Swedish)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [sv]

Vi beskriver i denna uppsats en modell för värdering av amerikanska optioner med hjälp av Monte Carlo-simulering. Traditionellt sett har simulering varit svårtillämpat vid värdering optioner med möjlighet till tidig inlösen, men Broadie och Glasserman har presenterat en Monte Carlo-modell som är väl lämpad för att värdera amerikanska optioner.

Place, publisher, year, edition, pages
2001.
National Category
Business Administration
Identifiers
URN: urn:nbn:se:su:diva-2246OAI: oai:DiVA.org:su-2246DiVA: diva2:191165
Uppsok
samhälle/juridik
Available from: 2007-01-05 Created: 2007-01-05

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