Author: Marc Furrer
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Longstaff und Schwartz (2001) haben eine einfache, aber sehr gute Methode entwickelt um amerikanische Optionen zu bewerten. Die Methode basiert auf Monte Carlo Simulationen und verwendet einfache Regressionsanalysen um die Optionen zu bewerten. Die vorliegende Arbeit untersucht die Genauigkeit der Least Squares Monte Carlo (LSM) Methode. Für die Untersuchung werden die mittels der LSM Methode erhaltenen Werte mit den analytischen Werten gemäss der Black-Scholes Formel verglichen. Die Untersuchung zeigt, dass die LSM Methode ziemlich genaue Resultate liefert.
Numerische Genauigkeit Von Least Squares Monte Carlo
Author: Marc Furrer
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Longstaff und Schwartz (2001) haben eine einfache, aber sehr gute Methode entwickelt um amerikanische Optionen zu bewerten. Die Methode basiert auf Monte Carlo Simulationen und verwendet einfache Regressionsanalysen um die Optionen zu bewerten. Die vorliegende Arbeit untersucht die Genauigkeit der Least Squares Monte Carlo (LSM) Methode. Für die Untersuchung werden die mittels der LSM Methode erhaltenen Werte mit den analytischen Werten gemäss der Black-Scholes Formel verglichen. Die Untersuchung zeigt, dass die LSM Methode ziemlich genaue Resultate liefert.
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Longstaff und Schwartz (2001) haben eine einfache, aber sehr gute Methode entwickelt um amerikanische Optionen zu bewerten. Die Methode basiert auf Monte Carlo Simulationen und verwendet einfache Regressionsanalysen um die Optionen zu bewerten. Die vorliegende Arbeit untersucht die Genauigkeit der Least Squares Monte Carlo (LSM) Methode. Für die Untersuchung werden die mittels der LSM Methode erhaltenen Werte mit den analytischen Werten gemäss der Black-Scholes Formel verglichen. Die Untersuchung zeigt, dass die LSM Methode ziemlich genaue Resultate liefert.
Random Number Generation and Monte Carlo Methods
Author: James E. Gentle
Publisher: Springer Science & Business Media
ISBN: 147572960X
Category : Computers
Languages : en
Pages : 252
Book Description
Monte Carlo simulation has become one of the most important tools in all fields of science. This book surveys the basic techniques and principles of the subject, as well as general techniques useful in more complicated models and in novel settings. The emphasis throughout is on practical methods that work well in current computing environments.
Publisher: Springer Science & Business Media
ISBN: 147572960X
Category : Computers
Languages : en
Pages : 252
Book Description
Monte Carlo simulation has become one of the most important tools in all fields of science. This book surveys the basic techniques and principles of the subject, as well as general techniques useful in more complicated models and in novel settings. The emphasis throughout is on practical methods that work well in current computing environments.
Monte Carlo and Quasi-Monte Carlo Methods 2002
Author: Harald Niederreiter
Publisher: Springer Science & Business Media
ISBN: 3642187439
Category : Mathematics
Languages : en
Pages : 462
Book Description
This book represents the refereed proceedings of the Fifth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing which was held at the National University of Singapore in the year 2002. An important feature are invited surveys of the state of the art in key areas such as multidimensional numerical integration, low-discrepancy point sets, computational complexity, finance, and other applications of Monte Carlo and quasi-Monte Carlo methods. These proceedings also include carefully selected contributed papers on all aspects of Monte Carlo and quasi-Monte Carlo methods. The reader will be informed about current research in this very active area.
Publisher: Springer Science & Business Media
ISBN: 3642187439
Category : Mathematics
Languages : en
Pages : 462
Book Description
This book represents the refereed proceedings of the Fifth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing which was held at the National University of Singapore in the year 2002. An important feature are invited surveys of the state of the art in key areas such as multidimensional numerical integration, low-discrepancy point sets, computational complexity, finance, and other applications of Monte Carlo and quasi-Monte Carlo methods. These proceedings also include carefully selected contributed papers on all aspects of Monte Carlo and quasi-Monte Carlo methods. The reader will be informed about current research in this very active area.
Numerical study to least-squares monte carlo method for pricing american options
Author: 黃惠君
Publisher:
ISBN:
Category :
Languages : zh-CN
Pages : 102
Book Description
Publisher:
ISBN:
Category :
Languages : zh-CN
Pages : 102
Book Description
Approving Least Squares Monte Carlo Approach for Valuing American Options
Author: Lei Zhang
Publisher:
ISBN:
Category : Monte Carlo method
Languages : en
Pages : 284
Book Description
Publisher:
ISBN:
Category : Monte Carlo method
Languages : en
Pages : 284
Book Description
Least-squares Monte Carlo for Backward SDEs
Author: Christian Bender
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
The Monte Carlo simulation study of model validation by least squares and ridge regression methods
Author: Bernard Yao-po Su
Publisher:
ISBN:
Category :
Languages : en
Pages : 142
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 142
Book Description
Least Squares Under Heteroskedasticity
Author: Samar Abbas Lotia
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 60
Book Description
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 60
Book Description
Improving the Least-squares Monte-Carlo Approach
Author: Nicki Søndergaard Rasmussen
Publisher:
ISBN:
Category :
Languages : en
Pages : 65
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 65
Book Description
Accelerating the Least-squares Monte Carlo Methodwith Parallel Computing
Author: 陳鏡文
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description