Multilevel and Unbiased Monte Carlo Methods for Option Pricing

Multilevel and Unbiased Monte Carlo Methods for Option Pricing

Internship Description

This project will focus on the numerical estimation of financial options. The latter are contracts associated to financial objects such as stocks, which can be mathematically expressed as expectations with respect to a diffusion process. In this project, we will develop Monte Carlo methods which can provide numerical estimates of these option prices, which are not available in closed forms. In particular, the diffusion processes will have to be time-discretized and we will use advanced multilevel and unbiased techniques to provide estimates sometimes with no time-discretization error.

Deliverables/Expectations

Implementation and development of algorithms​

Faculty Name

Ajay Jasra

Field of Study

Computational and Numerical Methods