Title: Poisson approximation for structure floors
Language: English
Authors: Eder, Alexander 
Qualification level: Diploma
Advisor: Gerhold, Stefan 
Issue Date: 2015
Number of Pages: 69
Qualification level: Diploma
This thesis is about the approximation of the price for structure floors. The underlying structured note consists of an arbitrary number of double barrier options. For a small number of options, it's numerically shown by a Monte Carlo simulation that they fulfill a special dependency criterium. To approximate the distribution of the structured note's payoff, the Chen-Stein method is used. Using this approximation, bounds for the exact price of a structure floor are given. These results are implemented using the coding language Mathematica. With this implementation, several examples are given to illustrate the results.
Keywords: Poisson approximation; Chen-Stein method; structured note; structure floor; coupling
URI: https://resolver.obvsg.at/urn:nbn:at:at-ubtuw:1-90719
Library ID: AC12669866
Organisation: E105 - Institut für Stochastik und Wirtschaftsmathematik 
Publication Type: Thesis
Appears in Collections:Thesis

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