Valuing Bermuda-Asian Options by Least Squares Monte Carlo Simulation 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 Valuing Bermuda-Asian Options by Least Squares Monte Carlo Simulation PDF full book. Access full book title Valuing Bermuda-Asian Options by Least Squares Monte Carlo Simulation by . Download full books in PDF and EPUB format.
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 152
Get Book Here
Book Description
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 152
Get Book Here
Book Description
Author: Andries Jacobus Van Niekerk
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
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.
Author: Lukas Müller
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Shiguang Han
Publisher:
ISBN:
Category :
Languages : en
Pages : 65
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: Diego Garcia
Publisher:
ISBN:
Category :
Languages : en
Pages : 132
Get Book Here
Book Description
Author: Laura Hass Thomsen
Publisher:
ISBN:
Category :
Languages : en
Pages : 97
Get Book Here
Book Description
Author: Lei Zhang
Publisher:
ISBN:
Category : Monte Carlo method
Languages : en
Pages : 284
Get Book Here
Book Description
Author: Lars Stentoft
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
