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Mixed Monte Carlo in the foreign exchange market
The stochastic differential equation (SDE) describing the spot FX rate is of central importance to modelling FX derivatives. A Monte Carlo estimate of the discounted individual payoffs of FX derivatives is taken to arrive at the price, provided there does not exist a closed form solution for the pri...
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| Format: | Thesis |
| Language: | English |
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Division of Actuarial Science
2017
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