Sökning: "Least square Monte Carlo method"

Visar resultat 1 - 5 av 9 uppsatser innehållade orden Least square Monte Carlo method.

1. 1. Pricing and Hedging of Financial Instruments using Forward–Backward Stochastic Differential Equations : Call Spread Options with Different Interest Rates for Borrowing and Lending

   Master-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

   Författare :Abigail Hailu Berta; [2022]
   Nyckelord :Backward stochastic differential equations BSDEs ; Markovian BSDEs; Least square Monte Carlo method; Deep BSDE method; Nonlinear option pricing and hedging problems; Pricing and hedging in high dimensions.;

   Sammanfattning : In this project, we are aiming to solve option pricing and hedging problems numerically via Backward Stochastic Differential Equations (BSDEs). We use Markovian BSDEs to formulate nonlinear pricing and hedging problems of both European and American option types. LÄS MER

3. 2. Monte-Carlo Based Pricing of American Options Using Known Characteristics of the Expected Continuation Value Function

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Olle Ottander; Fredrik Lindstedt; [2022]
   Nyckelord :Option; American Option; Monte-Carlo; Least-Square; Black-Scholes; Merton; Finite Moment Log Stable; FMLS; Heston; Expected Continuation Value; Mathematics and Statistics;

   Sammanfattning : The problem of pricing American stock options is far more complex than pricing European options due to the possibility of early execution. This feature means that the decision to either hold on to the option or exercising it early must be continually evaluated, leading to closed form solutions such as the Black-Scholes Formula to not be applicable on American options written on dividend paying assets. LÄS MER

4. 3. LEAST -SQUARE MONTE CARLO BASED OPTION PRICING OF EUROPEAN AND BERMUDAN STOCK INDEX OPTIONS

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Oscar Brink Bolin; Joel Ahnvik; [2022]
   Nyckelord :Option; Monte Carlo *; Least-square *; Black-Scholes; Merton; Heston; Bates; Mathematics and Statistics;

   Sammanfattning : On the financial markets, there are a large number of financial instruments. Two of these instruments is the European and Bermudan option, where the Bermudan option can be seen as a discrete version of the American option. Meaning, if one can price the Bermudan option one can also estimate the price of an American option. LÄS MER

5. 4. American option prices and optimal exercise boundaries under Heston Model–A Least-Square Monte Carlo approach

   Kandidat-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

   Författare :Omar Mohammad; Rafi Khaliqi; [2020]
   Nyckelord :options; pricing; american; Monte-Carlo; Least square; heston model; stochastic; volatility; early exercise boundary volatility;

   Sammanfattning : Pricing American options has always been problematic due to its early exercise characteristic. As no closed-form analytical solution for any of the widely used models exists, many numerical approximation methods have been proposed and studied. LÄS MER

7. 5. American Option pricing under Mutiscale Model using Monte Carlo and Least-Square approach

   Kandidat-uppsats, Mälardalens högskola/Utbildningsvetenskap och Matematik

   Författare :Tiffany Bart Adde; Kadek Maya Sri Puspita; [2017]
   Nyckelord :;

   Sammanfattning :    In the finance world, option pricing techniques have become an appealing topic among researchers, especially for pricing American options. Valuing this option involves more factors than pricing the European style one, which makes it more computationally challenging. LÄS MER