The Least-squares Monte Carlo Method for Pricing Bermudan Options in the Heston Model PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download The Least-squares Monte Carlo Method for Pricing Bermudan Options in the Heston Model PDF full book. Access full book title The Least-squares Monte Carlo Method for Pricing Bermudan Options in the Heston Model by Lukas Müller. Download full books in PDF and EPUB format.
Author: Lukas Müller
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Lukas Müller
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: 黃惠君
Publisher:
ISBN:
Category :
Languages : zh-CN
Pages : 102
Get Book Here
Book Description
Author: Alfredo Ibañez
Publisher:
ISBN:
Category :
Languages : en
Pages : 50
Get Book Here
Book Description
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.
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 152
Get Book Here
Book Description
Author: Ralf Korn
Publisher: CRC Press
ISBN: 1420076191
Category : Business & Economics
Languages : en
Pages : 485
Get Book Here
Book Description
Offering a unique balance between applications and calculations, Monte Carlo Methods and Models in Finance and Insurance incorporates the application background of finance and insurance with the theory and applications of Monte Carlo methods. It presents recent methods and algorithms, including the multilevel Monte Carlo method, the statistical Rom
Author: Diego Garcia
Publisher:
ISBN:
Category :
Languages : en
Pages : 132
Get Book Here
Book Description
Author: Phuc Phan
Publisher:
ISBN:
Category :
Languages : en
Pages : 11
Get Book Here
Book Description
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.
Author: Alberto Barola
Publisher: LAP Lambert Academic Publishing
ISBN: 9783659352607
Category :
Languages : en
Pages : 160
Get Book Here
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: David Farahany
Publisher:
ISBN:
Category :
Languages : en
Pages : 38
Get Book Here
Book Description
We develop a mixed least squares Monte Carlo-partial differential equation (LSMC-PDE) method for pricing Bermudan style options on assets under stochastic volatility. The algorithm is formulated for an arbitrary number of assets and volatility processes and we prove the algorithm converges almost surely for a class of models. We also introduce a multi-level Monte-Carlo/multi-grid method to improve the algorithm's computational complexity. Our numerical examples focus on the single (2d) and multi-dimensional (4d) Heston models and we compare our hybrid algorithm with classical LSMC approaches. In each case, we find that the hybrid algorithm outperforms standard LSMC in terms of estimating prices and optimal exercise boundaries.
Author: 劉乃誠
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
