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Enhanced Monte Carlo Estimates For American Option Prices
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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 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 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 Pricing American Options by : Nikolay Aleksandrov Aleksandrov
Download or read book Pricing American Options written by Nikolay Aleksandrov Aleksandrov and published by . This book was released on 2006 with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Monte Carlo Estimation of American Call Options on the Maximum of Several Stocks by : Steven B. Raymar
Download or read book Monte Carlo Estimation of American Call Options on the Maximum of Several Stocks written by Steven B. Raymar and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Among numerical methods for valuing derivatives, lattice- based models like the binomial are useful for pricing American options, but have difficulty with path dependent contracts. Monte Carlo simulation is good for path- dependent problems, but has trouble with American early exercise. And for all methods, computation time increases sharply when there is more than one stochastic variable. Yet derivative instruments with all of these difficult features are being created daily, an example is an American option on the maximum of several stock prices. In this article, Raymar and Zwecher present an enhanced Monte Carlo technique designed to handle these problems. Their method is fast and accurate in basic cases and can be used easily on much more complex options, like a call on the maximum of ten stocks. The biggest problem in assessing its performance on the most difficult cases is that there are no benchmarks available for accuracy; the Raymar and Zwecher technique solves valuation problems that no other approach can touch.
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 Monte Carlo Methods for Pricing and Hedging American Options in High Dimension by : Lucia Caramellino
Download or read book Monte Carlo Methods for Pricing and Hedging American Options in High Dimension written by Lucia Caramellino and published by . This book was released on 2004 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Monte Carlo Simulation and Option Pricing by : Kalina P. Natcheva
Download or read book Monte Carlo Simulation and Option Pricing written by Kalina P. Natcheva and published by . This book was released on 2002 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Option Pricing Using Monte Carlo Simulation by : Padriac Walsh
Download or read book Option Pricing Using Monte Carlo Simulation written by Padriac Walsh and published by . This book was released on 2006 with total page 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 Weighted Monte Carlo and Pricing American Options by : Bin Yu
Download or read book Weighted Monte Carlo and Pricing American Options written by Bin Yu and published by . This book was released on 2003 with total page 208 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 Option Valuation Using Monte Carlo Simulation by : Keng Leong Yeo
Download or read book American Option Valuation Using Monte Carlo Simulation written by Keng Leong Yeo and published by . This book was released on 2002 with total page 126 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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:
Book Synopsis Monte Carlo Methods for Pricing and Hedging American Options by : Grigorij N. Milʹstejn
Download or read book Monte Carlo Methods for Pricing and Hedging American Options written by Grigorij N. Milʹstejn and published by . This book was released on 2003 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis American Options and Monte Carlo Simulation by : Mark Kübler
Download or read book American Options and Monte Carlo Simulation written by Mark Kübler and published by . This book was released on 2001 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt:
