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Applying The Monte Carlo Method In Pricing American Options
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Book Synopsis Applying the Monte Carlo Method in Pricing American Options by : Maha Aljohani
Download or read book Applying the Monte Carlo Method in Pricing American Options written by Maha Aljohani and published by . This book was released on 2012 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Monte Carlo Method for Pricing American Options by : Diego Garcia
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:
Book Synopsis Monte Carlo and Quasi-Monte Carlo Methods 2002 by : Harald Niederreiter
Download or read book Monte Carlo and Quasi-Monte Carlo Methods 2002 written by Harald Niederreiter and published by Springer. This book was released on with total page 460 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Monte Carlo Methods in Financial Engineering by : Paul Glasserman
Download or read book Monte Carlo Methods in Financial Engineering written by Paul Glasserman and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 603 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
Book Synopsis Monte Carlo Methods for American Option Pricing by : Alberto Barola
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.
Book Synopsis Pricing American Options Using Monte Carlo Simulation by : Victoria Zhanna Averbukh
Download or read book Pricing American Options Using Monte Carlo Simulation written by Victoria Zhanna Averbukh and published by . This book was released on 1997 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Monte Carlo Method for Pricing American Options by : Wing Shan Lam
Download or read book A Monte Carlo Method for Pricing American Options written by Wing Shan Lam and published by . This book was released on 2003 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Monte Carlo Simulation for Valuation of American Options by : Marcus Muncan
Download or read book Monte Carlo Simulation for Valuation of American Options written by Marcus Muncan and published by . This book was released on 2006 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis American Put Option Pricing Using a Hybrid Evolutionary Computation and Monte-Carlo Simulation Method by : Anjan Kumar Swain
Download or read book American Put Option Pricing Using a Hybrid Evolutionary Computation and Monte-Carlo Simulation Method written by Anjan Kumar Swain and published by . This book was released on 2017 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: American put option pricing is a challenging, complex problem, and existing methods to address this problem are computationally intensive. In this paper, a self-adaptive evolutionary computation method is used for computing American put option price. The proposed method essentially transforms a discrete time exercisable American option to a continuous time exercisable option. The performance of the proposed method is compared with that of plain European Monte Carlo and Binomial Lattice option values. Further, in pricing American options this method exhibited better results with considerable improvements over that of conventional Monte-Carlo simulation method. It is argued that the proposed method effectively computes the upper bound on the American put options.
Book Synopsis Enhanced Monte Carlo Estimates for American Option Prices by : Mark Broadie
Download or read book Enhanced Monte Carlo Estimates for American Option Prices written by Mark Broadie and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Valuation of American Options by : David Animante
Download or read book Valuation of American Options written by David Animante and published by . This book was released on 2016 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: The use of American style equity options as hedging instrument has gained currency in recent times. This phenomenon devolves from the ever-expanding need by individuals, corporations and governments to hedge away their financial risks and the clarion call for derivative securities that give the holder increased flexibility in exercise. Nevertheless, pricing American options is complex and there exists no analytic solution to the problem except a profusion of approximation and finite difference techniques. Indeed, many researchers have shown that these methods cannot handle multifactor situations where the underlying asset follows a jump-diffusion process and where the derivative security depends on multiple sources of uncertainty such as stochastic volatility, stochastic interest rate among others. Monte-Carlo simulation techniques therefore developed out of the search for a pricing formula that has the capacity to accommodate all forms of uncertainty and at the same time able to produce speedy and accurate results. Some scholars at first rejected these techniques as yielding inaccurate results but in recent times, many researchers have demonstrated the efficacy of Monte-Carlo simulation in option pricing. The aim of this study is to assess the effectiveness of Monte-Carlo simulation methods in comparison with other option pricing techniques. To achieve this objective, the research builds an algorithm to compute Call and Put prices based on a wide range of input parameters. It also develops a model where volatility or interest rate is stochastic and a deterministic function of time. The results indicate that Monte-Carlo simulation techniques produce option values and exercise boundaries that are very similar to the Binomial, Barone-Adesi and Whaley as well as the Explicit Finite Difference methods. The results also show that the stochastic volatility and stochastic interest rate models yield slightly different but more accurate results. Consequently, the study recommends simulation techniques that incorporate multiple sources of uncertainty simultaneously for fast, efficient and more accurate option pricing.
Book Synopsis Monte Carlo Methods in Finance by : Peter Jäckel
Download or read book Monte Carlo Methods in Finance written by Peter Jäckel and published by John Wiley & Sons. This book was released on 2002-04-03 with total page 245 pages. Available in PDF, EPUB and Kindle. Book excerpt: An invaluable resource for quantitative analysts who need to run models that assist in option pricing and risk management. This concise, practical hands on guide to Monte Carlo simulation introduces standard and advanced methods to the increasing complexity of derivatives portfolios. Ranging from pricing more complex derivatives, such as American and Asian options, to measuring Value at Risk, or modelling complex market dynamics, simulation is the only method general enough to capture the complexity and Monte Carlo simulation is the best pricing and risk management method available. The book is packed with numerous examples using real world data and is supplied with a CD to aid in the use of the examples.
Book Synopsis Numerical study to least-squares monte carlo method for pricing american options by : 黃惠君
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:
Book Synopsis Pricing American Options by Canonical Least-Squares Monte Carlo by : Qiang Liu
Download or read book Pricing American Options by Canonical Least-Squares Monte Carlo written by Qiang Liu and published by . This book was released on 2008 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt: Options pricing and hedging under canonical valuation have recently been demonstrated to be quite effective, but unfortunately are only applicable to European options. In this paper, a variation of canonical valuation called canonical least-squares Monte Carlo is proposed to price American options, which proceeds in three stages. First, given a set of historical gross returns (or price ratios) of the underlying for a chosen time interval, a discrete risk-neutral distribution is obtained via the canonical approach. Second, from this canonical distribution independent random samples of gross returns are taken to simulate future price paths for the underlying. Third, to those paths the least-squares Monte Carlo method is then applied to compute a price for an American option. Numerical results obtained from using simulated gross returns under geometric Brownian motion (GBM) show that this new approach yields reasonably accurate prices for American put options and can be utilized as an alternative to pricing American options, whether the underlying follows GBM or not.
Book Synopsis American-Asian Option Pricing Based on Monte Carlo Simulation Method by : Shiguang Han
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:
Book Synopsis Use of the Monte Carlo Simulation in Valuation of European and American Call Options by : Gorica Malesevic
Download or read book Use of the Monte Carlo Simulation in Valuation of European and American Call Options written by Gorica Malesevic and published by . This book was released on 2017 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis American Option Valuation Using Monte Carlo Simulation Under a Regime-switching Framework by : Javier Alberto Hernandez
Download or read book American Option Valuation Using Monte Carlo Simulation Under a Regime-switching Framework written by Javier Alberto Hernandez and published by . This book was released on 2010 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: