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Author : Lars Stentoft
Publisher :
ISBN 13 : 9788790117177
Total Pages : 169 pages
Book Rating : 4.1/5 (171 download)
Download or read book Least Squares Monte-Carlo GARCH Methods for American Options written by Lars Stentoft and published by . This book was released on 2004 with total page 169 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : 劉乃誠
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book The Robustness of GARCH Option Pricing by the Least-squares Monte Carlo Simulation written by 劉乃誠 and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alberto Barola
Publisher : LAP Lambert Academic Publishing
ISBN 13 : 9783659352607
Total Pages : 160 pages
Book Rating : 4.3/5 (526 download)
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.
Author : 黃惠君
Publisher :
ISBN 13 :
Total Pages : 102 pages
Book Rating : 4.:/5 (62 download)
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:
Author : Lei Zhang
Publisher :
ISBN 13 :
Total Pages : 284 pages
Book Rating : 4.:/5 (125 download)
Download or read book Approving Least Squares Monte Carlo Approach for Valuing American Options written by Lei Zhang and published by . This book was released on 2004 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jason Barden
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (13 download)
Download or read book Optimum Weighting for the Least Squares Monte Carlo Approach to American Options Under the CEV Model written by Jason Barden and published by . This book was released on 2015 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we propose the optimum weighting scheme for pricing American options under a local volatility model. American options are priced under the constant elasticity of variance volatility model using Monte Carlo simulation. The residuals obtained from regression were heteroscedastic. For spot prices deep out-of-the-money, alternate weighting methods were found to provide improved accuracy over ordinary least squares. For spot prices deep in-the-money, the residuals were also heteroscedastic, however, the number of residuals present in the regression dominated and ordinary least squares provided improved accuracy. Generalised least squares was found to proved the most accurate overall weighting method.
Author : Phuc Phan
Publisher :
ISBN 13 :
Total Pages : 11 pages
Book Rating : 4.:/5 (13 download)
Download or read book Least-Squares Monte Carlo and Quasi Monte Carlo Method in Pricing American Put Options Using Matlab written by Phuc Phan and published by . This book was released on 2016 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Hrushikesh Mallick
Publisher : Springer Nature
ISBN 13 : 9464630981
Total Pages : 2160 pages
Book Rating : 4.4/5 (646 download)
Download or read book Proceedings of the 2022 4th International Conference on Economic Management and Cultural Industry (ICEMCI 2022) written by Hrushikesh Mallick and published by Springer Nature. This book was released on 2023-01-13 with total page 2160 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is an open access book. 2022 4th International Conference on Economic Management and Cultural Industry (ICEMCI 2022) to be held in Chongqing (Online) on October 14-16, 2022. As the leader of the global trend of scientific and technological innovation, China is constantly creating a more open scientific and technological innovation environment, expanding the depth and breadth of academic cooperation, and building a shared innovation community. These efforts are making new contributions to globalization and building a community with a shared future for mankind. ICEMCI aims to bring together innovative academics and industry experts in Economic Management and Cultural Industry into a common forum. We will discuss and research on areas such as International Economics and Trade, Sustainable Economic Development, Economic Statistics, Economic Policy, The impact of cultural industries on the economy, etc. ICEMCI 2022 also aims to provide a platform for experts, scholars, engineers, technicians and technology R&D personnel to share scientific research results and cutting-edge technologies, understand academic development trends, expand research ideas, strengthen academic research and discussion, and promote cooperation in the industrialization of academic achievements . With the theme "Economic Management and Cultural Industry", ICEMCI 2022 aspires to keeping up with advances and changes to a consistently morphing field. Leading researchers and industry experts from around the globe will be presenting the latest studies through papers, keynote speeches and oral presentations. We warmly invite you to participate in ICEMCI 2022 and look forward to seeing you in Chongqing !
Author : Adrian R. Bell
Publisher : Edward Elgar Publishing
ISBN 13 : 0857936093
Total Pages : 494 pages
Book Rating : 4.8/5 (579 download)
Download or read book Handbook of Research Methods and Applications in Empirical Finance written by Adrian R. Bell and published by Edward Elgar Publishing. This book was released on 2013-01-01 with total page 494 pages. Available in PDF, EPUB and Kindle. Book excerpt: This impressive Handbook presents the quantitative techniques that are commonly employed in empirical finance research together with real-world, state-of-the-art research examples. Written by international experts in their field, the unique approach describes a question or issue in finance and then demonstrates the methodologies that may be used to solve it. All of the techniques described are used to address real problems rather than being presented for their own sake, and the areas of application have been carefully selected so that a broad range of methodological approaches can be covered. The Handbook is aimed primarily at doctoral researchers and academics who are engaged in conducting original empirical research in finance. In addition, the book will be useful to researchers in the financial markets and also advanced Masters-level students who are writing dissertations.
Author : Lars Stentoft
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (471 download)
Download or read book Assessing the Least Squares Monte-Carlo Approach to American Option Valuation written by Lars Stentoft and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Svetlozar T. Rachev
Publisher : John Wiley & Sons
ISBN 13 : 0470937262
Total Pages : 316 pages
Book Rating : 4.4/5 (79 download)
Download or read book Financial Models with Levy Processes and Volatility Clustering written by Svetlozar T. Rachev and published by John Wiley & Sons. This book was released on 2011-02-08 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: An in-depth guide to understanding probability distributions and financial modeling for the purposes of investment management In Financial Models with Lévy Processes and Volatility Clustering, the expert author team provides a framework to model the behavior of stock returns in both a univariate and a multivariate setting, providing you with practical applications to option pricing and portfolio management. They also explain the reasons for working with non-normal distribution in financial modeling and the best methodologies for employing it. The book's framework includes the basics of probability distributions and explains the alpha-stable distribution and the tempered stable distribution. The authors also explore discrete time option pricing models, beginning with the classical normal model with volatility clustering to more recent models that consider both volatility clustering and heavy tails. Reviews the basics of probability distributions Analyzes a continuous time option pricing model (the so-called exponential Lévy model) Defines a discrete time model with volatility clustering and how to price options using Monte Carlo methods Studies two multivariate settings that are suitable to explain joint extreme events Financial Models with Lévy Processes and Volatility Clustering is a thorough guide to classical probability distribution methods and brand new methodologies for financial modeling.
Author : Laura Hass Thomsen
Publisher :
ISBN 13 :
Total Pages : 97 pages
Book Rating : 4.:/5 (115 download)
Download or read book Valuing American Options by Simulation written by Laura Hass Thomsen and published by . This book was released on 2015 with total page 97 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (471 download)
Download or read book Convergence of the Least Squares Monte-Carlo Approach to American Option Valuation written by and published by . This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Hirosato Seki
Publisher : Springer
ISBN 13 : 3030148157
Total Pages : 455 pages
Book Rating : 4.0/5 (31 download)
Download or read book Integrated Uncertainty in Knowledge Modelling and Decision Making written by Hirosato Seki and published by Springer. This book was released on 2019-03-18 with total page 455 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the refereed proceedings of the 7th International Symposium on Integrated Uncertainty in Knowledge Modelling and Decision Making, IUKM 2019, held in Nara, Japan, in March 2019. The 37 revised full papers presented were carefully reviewed and selected from 93 submissions. The papers deal with all aspects of uncertainty modelling and management and are organized in topical sections on uncertainty management and decision support; econometrics; machine learning; machine learning applications; and statistical methods.
Author : Gilles B. Desvilles
Publisher :
ISBN 13 :
Total Pages : 14 pages
Book Rating : 4.:/5 (129 download)
Download or read book The Cost of Accuracy in the Least Squares Monte Carlo Approach written by Gilles B. Desvilles and published by . This book was released on 2011 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article follows in the footsteps of Longstaff and Schwartz' seminal article about the use of regressions to model expectations in the valuation of American options with Monte Carlo simulation. The article repeats the original American put pricing in order to check for estimation accuracy and computation speed.In addition the article investigates the use of the control variate technique in order to accelerate the Least Squares Monte Carlo simulation, and implements a way to get the delta sensitivity without much raising the response time. However the results underline what is believed to be the main impediment of the approach: the cost of accuracy. Performed in dimension one on a standard computer the simulations lead to conclude that pricing an option agrave; la Longstaff Schwartz is not advised when the option is simple enough to be valued with a recombining binomial tree. Indeed the response times of the binomial pricing are incomparably shorter. Moreover the standard error proposed by the method under study is not reliable both in theory and in practice. There remains a mere conjecture according to which when increasing significantly the number of trajectories then convergence to the true price is reached and the estimated standard error is negligible. But, due to the involved pathwise regressions, such an increase would lengthen considerably the response time.Finally hope comes from computer improvements, especially in the memory field. In the least resource-consuming cases running the simulation with much more trajectories on a recent computer ends up yielding the true prices with no surrounding uncertainty and in a reasonable time. Hence, for similar pricings, one can expect to rely on the estimated standard error to tell when the simulation has converged.
Author : Peter Christoffersen
Publisher : Academic Press
ISBN 13 : 0080922430
Total Pages : 344 pages
Book Rating : 4.0/5 (89 download)
Download or read book Elements of Financial Risk Management written by Peter Christoffersen and published by Academic Press. This book was released on 2011-11-10 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Second Edition of this best-selling book expands its advanced approach to financial risk models by covering market, credit, and integrated risk. With new data that cover the recent financial crisis, it combines Excel-based empirical exercises at the end of each chapter with online exercises so readers can use their own data. Its unified GARCH modeling approach, empirically sophisticated and relevant yet easy to implement, sets this book apart from others. Five new chapters and updated end-of-chapter questions and exercises, as well as Excel-solutions manual, support its step-by-step approach to choosing tools and solving problems. Examines market risk, credit risk, and operational risk Provides exceptional coverage of GARCH models Features online Excel-based empirical exercises
Author : Yves Hilpisch
Publisher : John Wiley & Sons
ISBN 13 : 111903793X
Total Pages : 376 pages
Book Rating : 4.1/5 (19 download)
Download or read book Derivatives Analytics with Python written by Yves Hilpisch and published by John Wiley & Sons. This book was released on 2015-06-15 with total page 376 pages. Available in PDF, EPUB and Kindle. Book excerpt: Supercharge options analytics and hedging using the power ofPython Derivatives Analytics with Python shows you how toimplement market-consistent valuation and hedging approaches usingadvanced financial models, efficient numerical techniques, and thepowerful capabilities of the Python programming language. Thisunique guide offers detailed explanations of all theory, methods,and processes, giving you the background and tools necessary tovalue stock index options from a sound foundation. You'll find anduse self-contained Python scripts and modules and learn how toapply Python to advanced data and derivatives analytics as youbenefit from the 5,000+ lines of code that are provided to help youreproduce the results and graphics presented. Coverage includesmarket data analysis, risk-neutral valuation, Monte Carlosimulation, model calibration, valuation, and dynamic hedging, withmodels that exhibit stochastic volatility, jump components,stochastic short rates, and more. The companion website featuresall code and IPython Notebooks for immediate execution andautomation. Python is gaining ground in the derivatives analytics space,allowing institutions to quickly and efficiently deliver portfolio,trading, and risk management results. This book is the financeprofessional's guide to exploiting Python's capabilities forefficient and performing derivatives analytics. Reproduce major stylized facts of equity and options marketsyourself Apply Fourier transform techniques and advanced Monte Carlopricing Calibrate advanced option pricing models to market data Integrate advanced models and numeric methods to dynamicallyhedge options Recent developments in the Python ecosystem enable analysts toimplement analytics tasks as performing as with C or C++, but usingonly about one-tenth of the code or even less. DerivativesAnalytics with Python — Data Analysis, Models, Simulation,Calibration and Hedging shows you what you need to know tosupercharge your derivatives and risk analytics efforts.
