Advanced numerical methods in options pricing
a.a. 2025/26
Responsabile didattico: Antonino Zanette
Periodo: secondo semestre
Durata: 14 ore
Programma:
Algorithms for option pricing in discrete models and continuous models. Monte Carlo Methods
for European options. Tree methods for European and American options. Tree methods and
Monte Carlo methods for Exotic options (barrier options, asian options, lookback options, rainbow
options) Finite difference methods for the Black-Scholes PDE equation. Applications of
Machine Learning in options pricing.