Canonical Least-Squares Monte Carlo Valuation of American Options: Convergence and Empirical Pricing Analysis
نویسندگان
چکیده
منابع مشابه
Convergence of the Least Squares Monte Carlo Approach to American Option Valuation
In a recent paper Longstaff & Schwartz (2001) suggest a method to American option valuation based on simulation. The method is termed the Least Squares Monte-Carlo (LSM) method, and although it has become widely used not much is known about the properties of the estimator. This paper corrects this shortcoming using theory from the literature on seminonparametric series estimators. A central par...
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Derivatives on the Chicago Board Options Exchange volatility index (VIX) have gained significant popularity over the last decade. The pricing of VIX derivatives involves evaluating the square root of the expected realised variance which cannot be computed by direct Monte Carlo methods. Least squares Monte Carlo methods can be used but the sign of the error is difficult to determine. In this pap...
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We assess the applicability of (Longstaff and Schwartz, 2001) Least Squares Monte Carlo method (LSMC) to the General Real Options Pricing Model of (Kulatilaka and Trigeorgis, 1994) (KT). We propose some moment matching methods to get comparable results from KT model under different underlying stochastic processes for both LSMC and multivariate lattice methods. We study LSMC under different stoc...
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ژورنال
عنوان ژورنال: Mathematical Problems in Engineering
سال: 2014
ISSN: 1024-123X,1563-5147
DOI: 10.1155/2014/763751