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Giovanni Della Lunga

Professore a contratto

Dipartimento di Scienze Statistiche "Paolo Fortunati"

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Some general information about the final assignment.

The exam consists in the development of a python procedure for the pricing of an American-type option. The procedure must be described in a document that will be discussed with me at the time of the exam. Please note that, in order to allow me to adequately analyze your work, I would prefer to have your paper a few days before the date of the exam.

All students who want to take the exam are required to contact me to define the details of the assigned project.

As an example a non-exhaustive list of possible tasks is as follows:

1) development of pricing procedures with trinomial trees;

2) pricing of options with barrier using finite difference methods;

3) pricing of options on basket using the Longstaff-Schwartz method (this require the generalization of the simple LS Algorithm discussed during our classes from the single risk factor algorithm to the multivariate one);

4) pricing of American options with the Crank-Nicolson finite difference method

 

Don’t hesitate to contact me if you need further details.

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