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 Valuing American Asian Options with Least Squares Monte Carlo and Low Discrepancy Sequences written by Andries Jacobus Van Niekerk and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: There exists no closed form approximation for arithmetically calculated Asian options, but research has shown that closed form approximations are possible for Geometrically calculated Asian options. The aim of this dissertation is to effectively price American Asian options with the least squares Monte Carlo approach (Longstaff & Schwartz, 2001), applying Low discrepancy sequences and variance reduction techniques. We evaluate how these techniques affect the pricing of American options and American Asian options in terms of accuracy, computational efficiency, and computational time used to implement these techniques. We consider the effect of, Laguerre-, weighted Laguerre- , Hermite-, and Monomial-basis functions on the Longstaff and Schwartz (2001) model. We briefly investigate GPU optimization of the Longstaff and Schwartz algorithm within Matlab. We also graph the associated implied and Local volatility surfaces of the American Asian options to assist in the practical applicability of these options.
Download or read book The Least squares Monte Carlo Method for Pricing Bermudan Options in the Heston Model written by Lukas Müller and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book American Asian Option Pricing Based on Monte Carlo Simulation Method written by Shiguang Han and published by . This book was released on 2012 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Numerical study to least squares monte carlo method for pricing american options written by 黃惠君 and published by . This book was released on 2003 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 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 Valuing American Options by Simulation written by Laura Hass Thomsen and published by . This book was released on 2015 with total page 97 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Approving Least Squares Monte Carlo Approach for Valuing American Options written by Lei Zhang and published by . This book was released on 2004 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Assessing the Least Squares Monte Carlo Approach to American Option Valuation written by Lars Stentoft and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Robustness of GARCH Option Pricing by the Least squares Monte Carlo Simulation written by 劉乃誠 and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Monte Carlo Methods for American Option Pricing written by Alberto Barola and published by LAP Lambert Academic Publishing. This book was released on 2014-05-21 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Monte Carlo approach has proved to be a valuable and flexible computational tool in modern finance. A number of Monte Carlo simulation-based methods have been developed within the past years to address the American option pricing problem. The aim of this book is to present and analyze three famous simulation algorithms for pricing American style derivatives: the stochastic tree; the stochastic mesh and the least squares method (LSM). The author first presents the mathematical descriptions underlying these numerical methods. Then the selected algorithms are tested on a common set of problems in order to assess the strengths and weaknesses of each approach as a function of the problem characteristics. The results are compared and discussed on the basis of estimates precision and computation time. Overall the simulation framework seems to work considerably well in valuing American style derivative securities. When multi-dimensional problems are considered, simulation based methods seem to be the best solution to estimate prices since the general numerical procedures of finite difference and binomial trees become impractical in these specific situations.
Download or read book Convergence of the Least Squares Monte Carlo Approach to American Option Valuation written by Lars Stentoft and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Applications of Least Squares Regressions to Pricing and Hedging of Financial Derivatives written by and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Option pricing with Monte Carlo (MC) simulation: This thesis presents three new ideas for the application Least-Squares regressions. The first idea separates the pricing process into two parts, where one is often known analytically and the other can be estimated by MC simulation. The combination has better convergence than a usual MC estimate. The second idea is the application of sparse grids to Least-Squares Monte Carlo (LSMC). This technique allows the solution of high-dimensional option pricing problems. Examples with Moving Window Asian options and soft-call constraints of convertible bonds demonstrate the efficiency of the approach. The third and main contribution of this thesis is the Simulation-Based Hedging method which connects realistic models for the underlying with suitable pricing and hedging in complete and incomplete markets. The resulting method converges an order of magnitude faster to the Black-Scholes prices than the comparable LSMC, while the algorithm computes the optimal hedging strategy and thus obtains realistic risk-adjusted prices and hedges.
Download or read book Least Squares Monte Carlo and Quasi Monte Carlo Method in Pricing American Put Options Using Matlab written by Phuc Phan and published by . This book was released on 2016 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this report, we evaluate the use of the Least Squares Monte Carlo (LSM) method, which was proposed by Longstaff and Schwartz in 2001. The holder of an American option has the right to exercise the option anytime, which makes the option much more difficult to price compared to a European style option. LSM is a simple and powerful method to price American style options and utilizes the use of least squares to estimate the conditional expected payoff to the option holder from continuation value. I provide a simple version of the LSM algorithm using second degree polynomials as basis functions with working code in Matlab to price American put option. I illustrate how the model is affected when input parameter such as risk free interest rate, volatility, underlying stock price, time to maturity are perturbed. After that, I construct the quasi Monte Carlo version of the Least Square algorithm by using Halton sequence and compare the performance of both quasi Monte Carlo and Monte Carlo algorithm.
Download or read book Pricing American style Moving average Options with Least square Monte Carlo Simulation Approaches written by 王志鴻 and published by . This book was released on 2003 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Efficient Quasi Monte Carlo Simulation for Pricing Asian Options Under Heston s Model written by Kewei Yu and published by . This book was released on 2015 with total page 83 pages. Available in PDF, EPUB and Kindle. Book excerpt: The market for path-dependent options has been expanded considerably in the financial industry. The approach for pricing the path-dependent options in this thesis is developed by Kolkiewicz (2014) based on a quasi-Monte Carlo simulation with Brownian bridges conditioning on both their terminal values and the integrals along the paths. The main contribution of this essay is an extension of the above method to price Asian options under a stochastic volatility model. A Matlab implementation of generating multi-dimensional independent Brownian paths is also included as part of the contribution. The result can be used to price path-dependent options, such as an Asian option under both stochastic interest rate model and/or stochastic volatility model. A comparison with regular Monte Carlo simulation is provided.
