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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 : Manuel Moreno
Publisher :
ISBN 13 :
Total Pages : 41 pages
Book Rating : 4.:/5 (129 download)
Download or read book On the Robustness of Least - Squares Monte Carlo (LSM) for Pricing American Derivatives written by Manuel Moreno and published by . This book was released on 2007 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyses the robustness of Least - Squares Monte Carlo, a technique proposed by Longstaff and Schwartz (2001) for pricing American options. This method is based on least - squares regressions in which the explanatory variables are certain polynomial functions. We analyze the impact of different basis functions on option prices. Numerical results for American put options show that this approach is quite robust to the choice of basis functions. For more complex derivatives, this choice can slightly affect option prices.
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 : 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 : 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 : Manuel Moreno (Economista)
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (86 download)
Download or read book On the Robustness of Least-squares Monte Carlo (LSM) for Pricing American Derivatives written by Manuel Moreno (Economista) and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Manuel Moreno
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (535 download)
Download or read book On the Robustness of Least-squares Monte Carlo (LSM) for Pricing American Derivatives written by Manuel Moreno and published by . This book was released on 2001 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 : Giovanni Barone-Adesi
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (129 download)
Download or read book An Option Pricing Formula for the GARCH Diffusion Model written by Giovanni Barone-Adesi and published by . This book was released on 2007 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: We derive analytically the first four conditional moments of the integrated variance implied by the GARCH diffusion process. From these moments we obtain an analytical closed-form approximation formula to price European options under the GARCH diffusion model.Using Monte Carlo simulations, we show that this approximation formula is accurate for a large set of reasonable parameters. Finally, we use the closed-form option pricing solution to shed light on the qualitative properties of implied volatility surfaces induced by GARCH diffusion models.
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 : Damir Filipović
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (117 download)
Download or read book Weighted Monte Carlo with Least Squares and Randomized Extended Kaczmarz for Option Pricing written by Damir Filipović and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Nelson Areal
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (129 download)
Download or read book On Improving the Least Squares Monte Carlo Option Valuation Method written by Nelson Areal and published by . This book was released on 2018 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies various possible approaches to improving the least squares Monte Carlo option valuation method. We test different regression algorithms and suggest a variation to estimating the option continuation value, which can reduce the execution time of the algorithm by one third. We test the choice of varying polynomial families with different number of basis functions. We compare several variance reduction techniques, and find that using low discrepancy sequences can improve the accuracy up to four times. We also extend our analysis to compound and mutually exclusive options. For the latter, we propose an improved algorithm which is faster and more accurate.
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 : Chrilly Donninger
Publisher :
ISBN 13 :
Total Pages : 14 pages
Book Rating : 4.:/5 (13 download)
Download or read book Smarter Than the Options-Market? A Real-Measure GARCH Option Pricing Model with Volatility Regime Simulation written by Chrilly Donninger and published by . This book was released on 2014 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: This working paper uses as a starting point the filtered historical simulation (FHS) approach developed by Barone-Adesi et al. One builds a GRJ-GARCH model and generates Monte-Carlo return/price paths with normalized returns. This introduces a severe drift-bias. The Volatility Regime Simulation (VRS) avoids the bias by sampling from the same volatility regime.Barone-Adesi et al. transform the real-world into the risk-neutral measure. They calibrate the GARCH model to the market prices of plain-vanilla options.The current model stays in the real-measure. One simulates a realistic trading behavior by hedging the options along the Monte-Carlo paths. The model generates the stylized facts of S&P-500 index options. The overall agreement with market-prices is quite good. According the model Calls are somewhat under-, Puts are somewhat overpriced. The second part of the paper demonstrates the promising application of the model for index options trading.
Author : Giuseppe Alesii
Publisher :
ISBN 13 :
Total Pages : 88 pages
Book Rating : 4.:/5 (129 download)
Download or read book Assessing Least Squares Monte Carlo for the Kulatilaka Trigeorgis General Real Options Pricing Model written by Giuseppe Alesii and published by . This book was released on 2008 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt: We assess the applicability of (Longstaff and Schwartz, 2001) Least Squares Monte Carlo method to the General Real Options Pricing Model of (Kulatilaka and Trigeorgis, 1994). We study LSMC under different stochastic processes: GBM, up to three dimensions, models 1, 2 and 3 in (Schwartz, 1997), benchmarking every application by lattice methods. We explore empirically a generalization of proposition 1 page 124 in (Longstaff and Schwartz, 2001) with respect to the number of discretization points, of basis functions and the number of simulated paths. We study the speed precision tradeoff of LSMC individual estimates. Finally, we show their statistical properties.
Author : Padriac Walsh
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (264 download)
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:
