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Extension of a pedagogical tool in Python to price and hedge options

Paquay, Valentin
(2023)

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PAQUAY_55441800_2023.pdf
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Details

Supervisors
Frédéric Vrins
Faculty
Louvain School of Management
Degree label
Master [120] : ingénieur de gestion, à finalité spécialisée
Abstract
The aim of this thesis is to develop a pedagogical application in Python to illustrate the use of the Monte-Carlo method to calculate the price of an arithmetic Asian option. It also looks at the impact of variance reduction techniques on the accuracy of results. This thesis is supported by a web application hosted on Render.