Monte Carlo Method in Option Pricing
Regarding European and Asian call option pricing, explored methods of variance reduction (antithetic variables, importance sampling, control variates) and generated random paths (Milstein and Euler), compared performance of Monte Carlo method and Crank-Nicolson scheme in Finite Difference method.
Xinran (Katherine) Zhang
Aspiring Data Scientist
Look forward to applying what I’ve learned to make a positive impact on the world