The least squares method for option pricing revisited
نویسندگان
چکیده
منابع مشابه
The least squares method for option pricing revisited
It is shown that the the popular least squares method of option pricing converges even under very general assumptions. This substantially increases the freedom of creating different implementations of the method, with varying levels of computational complexity and flexible approach to regression. It is also argued that in many practical applications even modest non-linear extensions of standard...
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This article presents how to use the least-squares (LS) regression method to price the American options on basis of the algorithm in a paper by Clement, Lamberton & Protter[1]. The key to LS is the approximation of the conditional expectation functions which determine the optimal exercise strategy. In this paper, through the detailed description of the algorithm and presentation of convergence,...
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Recently, various authors proposed Monte-Carlo methods for the computation of American option prices, based on least squares regression. The purpose of this paper is to analyze an algorithm due to Longstaff and Schwartz. This algorithm involves two types of approximation. Approximation one: replace the conditional expectations in the dynamic programming principle by projections on a finite set ...
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ژورنال
عنوان ژورنال: Applicationes Mathematicae
سال: 2018
ISSN: 1233-7234,1730-6280
DOI: 10.4064/am2354-2-2018