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Pricing Multi-Asset Options Using a Jacobi Process for Stochastic Correlation

dc.rights.licenseCC-BY-NC-ND
dc.contributor.advisorOosterlee, C.W.
dc.contributor.authorWissmann, Hidde
dc.date.accessioned2025-03-24T10:01:20Z
dc.date.available2025-03-24T10:01:20Z
dc.date.issued2025
dc.identifier.urihttps://studenttheses.uu.nl/handle/20.500.12932/48658
dc.description.sponsorshipUtrecht University
dc.language.isoEN
dc.subjectThis thesis explores the dynamic modeling of correlations using the Jacobi Process and applying this model to price different kinds of financial derivatives such as asian basket options. Monte Carlo methods are used to find results and different variance reduction methods are used to get more accurate and faster results.
dc.titlePricing Multi-Asset Options Using a Jacobi Process for Stochastic Correlation
dc.type.contentBachelor Thesis
dc.rights.accessrightsOpen Access
dc.subject.courseuuMathematics
dc.thesis.id44463


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