Pricing Path-Dependent Derivative Securities Using Monte Carlo Simulation and Intra-Market Statistical Trading Model
This thesis is composed of two parts. The first parts deals with a technique for pricing American-style contingent options. The second part details a statistical arbitrage model using statistical process control approaches. We propose a novel simulation approach for pricing American-style contingen...
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| Format: | Others |
| Language: | en_US |
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Georgia Institute of Technology
2005
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| Online Access: | http://hdl.handle.net/1853/4914 |