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Displaying 1 - 2 of 2
Massively Parallelized Monte Carlo Simulation and Its Applications in Finance
FRM Project-Simon Fraser University
Author: Ziabakhshdeylami, Ashkan, Author: Looi, Lauren
Date created: 2011-08
APPLICATIONS OF REALIZED VOLATITILY, LOCAL VOLATILITY AND IMPLIED VOLATILITY SURFACE IN ACCURACY ENHANCEMENT OF DERIVATIVE PRICING MODEL
MSc in Finance Project-Simon Fraser University.
Author: Yan, Keyang, Author: Zhang, Feifan
Date created: 2017-12

Date created

Resource type

  • Graduating extended essay / Research project (2)

Collection

  • Beedie School of Business: Segal Graduate School Final Projects (2)

Scholarly level

  • Graduate student (Masters) (2)

Author

  • Looi, Lauren (1)
  • Yan, Keyang (1)
  • Zhang, Feifan (1)
  • Ziabakhshdeylami, Ashkan (1)

Thesis Advisor

Peer reviewed?

  • No (2)

Keywords

  • (-) Derivative pricing (2)
  • GPGPU (1)
  • High frequency trading (1)
  • Implied volatility surface (1)
  • Local volatility (1)
  • Monte Carlo simulation (1)
  • Pricing accuracy (1)
  • Realized Volatility (1)
  • Return probability distribution (1)
  • Volatility Skew (1)
  • Volatility smile (1)

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