American Option Valuation Using Monte Carlo Simulation PDF Download
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Author: Keng Leong Yeo
Publisher:
ISBN:
Category :
Languages : en
Pages : 126
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Book Description
Author: Keng Leong Yeo
Publisher:
ISBN:
Category :
Languages : en
Pages : 126
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Book Description
Author: Javier Alberto Hernandez
Publisher:
ISBN:
Category :
Languages : en
Pages : 168
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Book Description
Author: Diego Garcia
Publisher:
ISBN:
Category :
Languages : en
Pages : 132
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Book Description
Author: Harald Niederreiter
Publisher: Springer
ISBN: 9783642187445
Category : Mathematics
Languages : en
Pages : 460
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Book Description
Author: Victoria Zhanna Averbukh
Publisher:
ISBN:
Category : Finansielle instrumenter
Languages : en
Pages : 138
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Author: Alberto Barola
Publisher: LAP Lambert Academic Publishing
ISBN: 9783659352607
Category :
Languages : en
Pages : 160
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Book Description
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.
Author: Gorica Malesevic
Publisher:
ISBN:
Category : Options (Finance)
Languages : en
Pages : 53
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Book Description
This thesis examines the valuation methods used for pricing European and American call options. Options are financial instruments that play an important role in the financial industry and are used in hedging, speculating and arbitraging. Because options are widely used in investing, there is a need for valuation methods that are as precise as possible. Options have been perceived as obscure financial instruments due to the lack of valuation techniques in the past. However, with the discovery of Black-Scholes Model in 1973, the first option valuation method, option trading escalated. In this thesis, the fair market value of S & P 500 index with European exercise style, The Google Option Contract and Apple Option Contract will be obtained bu using the Black-Scholes Model, the General Monte Carlo Simulation, The Combined Method and the Least-Square Monte Carlo. The results from three models with be compared and contrasted in order to determine the best valuation method.
Author: Marcus Muncan
Publisher:
ISBN:
Category :
Languages : en
Pages : 164
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Author: Mark Broadie
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Monte Carlo simulation has trouble with American options because the exercise decision at a given date must compare the option's immediate exercise value against its continuation value. The option value if it is not exercised is a function of its value along all possible future price paths from that point on, and each path will present further exercise decisions with the same difficulty in resolving them. The authors propose a hybrid valuation technique that bridges Monte Carlo simulation and lattice methods. Instead of simulating price paths, they simulate whole price trees. The tree emanating from each point is used to assess the option continuation value for that date and stock price. While the results are accurate, inevitably the procedure requires a large number of computations. The authors then offer a variety of techniques that substantially increase efficiency.
Author: Paul Glasserman
Publisher: Springer Science & Business Media
ISBN: 0387216170
Category : Mathematics
Languages : en
Pages : 603
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Book Description
From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis
