Download or read book The Optimal Method for Pricing Bermudan Options by Simulation written by Alfredo Ibañez and published by . This book was released on 2017 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: Least-squares methods enable us to price Bermudan-style options by Monte Carlo simulation. They are based on estimating the option continuation value by least squares. We show that the Bermudan price is maximized when this continuation value is estimated near the exercise boundary, which is equivalent to implicitly estimating the optimal exercise boundary by using the value-matching condition. Localization is the key difference with respect to global regression methods, but is fundamental for optimal exercise decisions, and requires estimation of the continuation value by iterating local least-squares (because we estimate and localize the exercise boundary at the same time). In the numerical example, in agreement with this optimality, the new prices or lower bounds (i) improve upon the prices reported by other methods and (ii) are very close to the associated dual upper bounds. We also study the method's convergence.
Download or read book Valuing Bermuda Asian Options by Least Squares Monte Carlo Simulation written by and published by . This book was released on 2007 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Monte Carlo Method for Pricing American Options written by Diego Garcia and published by . This book was released on 1999 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Stochastic Grid Bundling Method written by Shashi Jain and published by . This book was released on 2014 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper describes a practical simulation-based algorithm, which we call the Stochastic Grid Bundling Method (SGBM) for pricing multi-dimensional Bermudan (i.e. discretely exercisable) options. The method generates a direct estimator of the option price, an optimal early-exercise policy as well as a lower bound value for the option price. An advantage of SGBM is that the method can be used for fast approximation of the Greeks (i.e., derivatives with respect to the underlying spot prices, such as delta, gamma, etc) for Bermudan-style options. Computational results for various multi-dimensional Bermudan options demonstrate the simplicity and efficiency of the algorithm proposed.
Download or read book Advanced Simulation Based Methods for Optimal Stopping and Control written by Denis Belomestny and published by Springer. This book was released on 2018-01-31 with total page 366 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is an advanced guide to optimal stopping and control, focusing on advanced Monte Carlo simulation and its application to finance. Written for quantitative finance practitioners and researchers in academia, the book looks at the classical simulation based algorithms before introducing some of the new, cutting edge approaches under development.
Download or read book Pricing American Options Using Monte Carlo Simulation written by Victoria Zhanna Averbukh and published by . This book was released on 1997 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Pricing Bermudan Options Using Regression Optimal Rates of Convergence for Lower Estimates written by Denis Belomestny and published by . This book was released on 2010 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mathematical Modeling And Methods Of Option Pricing written by Lishang Jiang and published by World Scientific Publishing Company. This book was released on 2005-07-18 with total page 343 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the unique perspective of partial differential equations (PDE), this self-contained book presents a systematic, advanced introduction to the Black-Scholes-Merton's option pricing theory.A unified approach is used to model various types of option pricing as PDE problems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs. In particular, the qualitative and quantitative analysis of American option pricing is treated based on free boundary problems, and the implied volatility as an inverse problem is solved in the optimal control framework of parabolic equations.
Download or read book Adaptive Simulation Algorithms for Pricing American and Bermudan Options by Local Analysis of the Financial Market written by Denis Belomestny and published by . This book was released on 2005 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mathematical Models of Financial Derivatives written by Yue-Kuen Kwok and published by Springer Science & Business Media. This book was released on 2008-07-10 with total page 541 pages. Available in PDF, EPUB and Kindle. Book excerpt: This second edition, now featuring new material, focuses on the valuation principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analysed, emphasising aspects of pricing, hedging and practical usage. This second edition features additional emphasis on the discussion of Ito calculus and Girsanovs Theorem, and the risk-neutral measure and equivalent martingale pricing approach. A new chapter on credit risk models and pricing of credit derivatives has been added. Up-to-date research results are provided by many useful exercises.
Download or read book Monte Carlo Methods in Finance written by Peter Jäckel and published by John Wiley & Sons. This book was released on 2002-04-03 with total page 245 pages. Available in PDF, EPUB and Kindle. Book excerpt: An invaluable resource for quantitative analysts who need to run models that assist in option pricing and risk management. This concise, practical hands on guide to Monte Carlo simulation introduces standard and advanced methods to the increasing complexity of derivatives portfolios. Ranging from pricing more complex derivatives, such as American and Asian options, to measuring Value at Risk, or modelling complex market dynamics, simulation is the only method general enough to capture the complexity and Monte Carlo simulation is the best pricing and risk management method available. The book is packed with numerous examples using real world data and is supplied with a CD to aid in the use of the examples.
Download or read book Pricing Models for Bermudan style Interest Rate Derivatives written by Raoul Pietersz and published by . This book was released on 2005 with total page 209 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Fuel Hedging and Risk Management written by Simo M. Dafir and published by John Wiley & Sons. This book was released on 2016-03-04 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt: A hands-on guide to navigating the new fuel markets Fuel Hedging and Risk Management: Strategies for Airlines, Shippers and Other Consumers provides a clear and practical understanding of commodity price dynamics, key fuel hedging techniques, and risk management strategies for the corporate fuel consumer. It covers the commodity markets and derivative instruments in a manner accessible to corporate treasurers, financial officers, risk managers, commodity traders, structurers, as well as quantitative professionals dealing in the energy markets. The book includes a wide variety of key topics related to commodities and derivatives markets, financial risk analysis of commodity consumers, hedge program design and implementation, vanilla derivatives and exotic hedging products. The book is unique in providing intuitive guidance on understanding the dynamics of forward curves and volatility term structure for commodities, fuel derivatives valuation and counterparty risk concepts such as CVA, DVA and FVA. Fully up-to-date and relevant, this book includes comprehensive case studies that illustrate the hedging process from conception to execution and monitoring of hedges in diverse situations. This practical guide will help the reader: Gain expert insight into all aspects of fuel hedging, price and volatility drivers and dynamics. Develop a framework for financial risk analysis and hedge programs. Navigate volatile energy markets by employing effective risk management techniques. Manage unwanted risks associated with commodity derivatives by understanding liquidity and credit risk calculations, exposure optimization techniques, credit charges such as CVA, DVA, FVA, etc.
Download or read book Monte Carlo Frameworks written by Daniel J. Duffy and published by John Wiley & Sons. This book was released on 2011-08-02 with total page 775 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is one of the first books that describe all the steps that are needed in order to analyze, design and implement Monte Carlo applications. It discusses the financial theory as well as the mathematical and numerical background that is needed to write flexible and efficient C++ code using state-of-the art design and system patterns, object-oriented and generic programming models in combination with standard libraries and tools. Includes a CD containing the source code for all examples. It is strongly advised that you experiment with the code by compiling it and extending it to suit your needs. Support is offered via a user forum on www.datasimfinancial.com where you can post queries and communicate with other purchasers of the book. This book is for those professionals who design and develop models in computational finance. This book assumes that you have a working knowledge of C ++.
Download or read book Market Conform Valuation of Options written by Tobias Herwig and published by Taylor & Francis. This book was released on 2006-01-17 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: The focus of this volume is on the development of new approaches for the market-conform valuation of newly issued derivatives. The first chapter presents a flexible approach to construct the binomial process of the underlying asset price by using a simultaneously backward and forward induction algorithm. This framework can be used to price and hedge a wide range of plain-vanilla and exotic options. In the second chapter this new approach is compared to existing models using a sample of plain-vanilla options, American call options and European Barrier options from two competing markets. In the third chapter new methods to value American-style options via Monte Carlo simulations in accordance with given market prices are discussed. After a short introduction to Monte Carlo methods, two new approaches are proposed. These new frameworks are illustrated via pricing examples for standard American put options.
Download or read book Some Aspects of Optimal Switching and Pricing Bermudan Options written by Ali Hamdi and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Applied Quantitative Finance written by Wolfgang Karl Härdle and published by Springer Science & Business Media. This book was released on 2008-08-26 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent years have witnessed a growing importance of quantitative methods in both financial research and industry. This development requires the use of advanced techniques on a theoretical and applied level, especially when it comes to the quantification of risk and the valuation of modern financial products. Applied Quantitative Finance (2nd edition) provides a comprehensive and state-of-the-art treatment of cutting-edge topics and methods. It provides solutions to and presents theoretical developments in many practical problems such as risk management, pricing of credit derivatives, quantification of volatility and copula modelling. The synthesis of theory and practice supported by computational tools is reflected in the selection of topics as well as in a finely tuned balance of scientific contributions on practical implementation and theoretical concepts. This linkage between theory and practice offers theoreticians insights into considerations of applicability and, vice versa, provides practitioners comfortable access to new techniques in quantitative finance. Themes that are dominant in current research and which are presented in this book include among others the valuation of Collaterized Debt Obligations (CDOs), the high-frequency analysis of market liquidity, the pricing of Bermuda options and realized volatility. All Quantlets for the calculation of the given examples are downloadable from the Springer web pages.
