Effcient Simulation and Valuation of Embedded Options using Monte Carlo Simulations

Title

Effcient Simulation and Valuation of Embedded Options using Monte Carlo Simulations

Author

Singor, S.N.

Contributor

Oosterlee, C.W. (mentor)
Van Bragt, D.D.B. (mentor)

Faculty

Electrical Engineering, Mathematics and Computer Science

Department

Applied mathematics

Date

2009-07-10

Subject

Monte Carlo
Heston Hull-White
Efficient simulation
Embedded options

To reference this document use:

http://resolver.tudelft.nl/uuid:a65f49cf-5447-4816-8352-8c42846fc103

Embargo date

2009-10-02

Part of collection

Student theses

Document type

master thesis

Rights

(c) 2009 Singor, S.N.