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Valuing American Options By Simulation
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Book Synopsis Valuing American Options by Simulation by : Francis A. Longstaff
Download or read book Valuing American Options by Simulation written by Francis A. Longstaff and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a simple yet powerful new approach for valuing American options by simulation. The key to this approach is to use least squares to estimate the conditional expected payoff to the optionholder from continuation. This makes this approach readily applicable in path-dependent and multifactor situations where traditional finite difference and binomial techniques cannot be used. We illustrate this technique with a series of realistic examples ranging from the valuation of an American put in a single-factor setting to the valuation of a deferred American swaption in a twenty-factor string model of the term structure.
Book Synopsis Valuing American Options by Simulation by : Laura Hass Thomsen
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:
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 Numerical Solution Of The American Option Pricing Problem, The: Finite Difference And Transform Approaches by : Carl Chiarella
Download or read book Numerical Solution Of The American Option Pricing Problem, The: Finite Difference And Transform Approaches written by Carl Chiarella and published by World Scientific. This book was released on 2014-10-14 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt: The early exercise opportunity of an American option makes it challenging to price and an array of approaches have been proposed in the vast literature on this topic. In The Numerical Solution of the American Option Pricing Problem, Carl Chiarella, Boda Kang and Gunter Meyer focus on two numerical approaches that have proved useful for finding all prices, hedge ratios and early exercise boundaries of an American option. One is a finite difference approach which is based on the numerical solution of the partial differential equations with the free boundary problem arising in American option pricing, including the method of lines, the component wise splitting and the finite difference with PSOR. The other approach is the integral transform approach which includes Fourier or Fourier Cosine transforms. Written in a concise and systematic manner, Chiarella, Kang and Meyer explain and demonstrate the advantages and limitations of each of them based on their and their co-workers' experiences with these approaches over the years.
Book Synopsis On the Dangers of a Simplistic American Option Simulation Valuation Method by : Nelson Areal
Download or read book On the Dangers of a Simplistic American Option Simulation Valuation Method written by Nelson Areal and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Chen and Shen (2003) argue that it is possible to improve the Least Squares Monte Carlo Method (LSMC) of Longstaff and Schwartz (2001) to value American options by removing the least squares regression module. This would make not only faster but also more accurate. We demonstrate, using a large sample of 2500 put options that the proposed algorithm - the Perfect Foresight Method (PFM) - is, as argued by the authors, faster than the LSMC algorithm but, contrary to what they state, it is not more accurate than the LSMC. In fact, the PFM algorithm incorrectly prices American options, resulting in an upward biased value of the option. We therefore, do not recommend the use of the PFM.
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 : 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 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 Pricing American-style Securities Using Simulation by : Mark Nathan Broadie
Download or read book Pricing American-style Securities Using Simulation written by Mark Nathan Broadie and published by . This book was released on 1996 with total page 44 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 Introduction to Stochastic Calculus Applied to Finance by : Damien Lamberton
Download or read book Introduction to Stochastic Calculus Applied to Finance written by Damien Lamberton and published by CRC Press. This book was released on 2011-12-14 with total page 253 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the publication of the first edition of this book, the area of mathematical finance has grown rapidly, with financial analysts using more sophisticated mathematical concepts, such as stochastic integration, to describe the behavior of markets and to derive computing methods. Maintaining the lucid style of its popular predecessor, this concise and accessible introduction covers the probabilistic techniques required to understand the most widely used financial models. Along with additional exercises, this edition presents fully updated material on stochastic volatility models and option pricing as well as a new chapter on credit risk modeling. It contains many numerical experiments and real-world examples taken from the authors' own experiences. The book also provides all of the necessary stochastic calculus theory and implements some of the algorithms using SciLab. Key topics covered include martingales, arbitrage, option pricing, and the Black-Scholes model.
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 Valuing Bermuda-Asian Options by Least Squares Monte Carlo Simulation by :
Download or read book Valuing Bermuda-Asian Options by Least Squares Monte Carlo Simulation written by and published by . This book was released on 2007 with total page 152 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 Pricing by : Garrett G. Smith
Download or read book American Option Pricing written by Garrett G. Smith and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines methods of pricing American style options, moving from the binomial model to the Black Scholes method and finishing with simulated method of option pricing. A simulated approached is based off the work established by Longstaff and Schwartz (2001) and extended by Rambharat and Brockwell (2010). Downfalls of these methods are discussed, as are ways to improve upon them. Using Monte Carlo methods and particle filtering will lead to a platform where options are priced with greater detail. Also, these simulated methods lead to faster computing time allowing for a more efficient use of resources and a theoretical framework of pricing.
Book Synopsis American Option Pricing Using Simulation by : Lars Stentoft
Download or read book American Option Pricing Using Simulation written by Lars Stentoft and published by . This book was released on 2019 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: It contains an introduction to how simulation methods can be used to price American options and a discussion of various existing methods. An application using one of these methods, the regression based method, to the GARCH option pricing model is also provided.
Book Synopsis American-Style Derivatives by : Jerome Detemple
Download or read book American-Style Derivatives written by Jerome Detemple and published by CRC Press. This book was released on 2005-12-09 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: Focusing on recent developments in the field, American-Style Derivatives provides an extensive treatment of option pricing with emphasis on the valuation of American options on dividend-paying assets. This book reviews valuation principles for European contingent claims and extends the analysis to American contingent claims. It presents basic valuation principles for American options including barrier, capped, and multi-asset options. It also reviews numerical methods for option pricing and compares their relative performance. Ideal for students and researchers in quantitative finance, this material is accessible to those with a background in stochastic processes or derivative securities.
