Sökning: "least square monte carlo simulation"

Hittade 3 uppsatser innehållade orden least square monte carlo simulation.

  1. 1. 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

  3. 2. A Study of Impulse Response System Identification

    Magister-uppsats, Karlstads universitet/Fakulteten för teknik- och naturvetenskap

    Författare :Suraj Paluri; Sandeep Patluri; [2007]
    Nyckelord :Impulse Response; System Identification; Monte Carlo; Signal to noise ratio SNR ;

    Sammanfattning : In system identification, different methods are often classified as parametric or non-parametric methods. For parametric methods, a parametric model of a system is considered and the model parameters are estimated. For non-parametric methods, no parametric model is used and the result of the identification is given as a curve or a function. LÄS MER

  4. 3. Skattning av en akvifers hydrauliska egenskaper med stokastisk FEM. Med exempel från Malmöområdet

    Uppsats för yrkesexamina på avancerad nivå, Lunds universitet/Byggnadsmekanik; Lunds universitet/Teknisk geologi; Lunds universitet/Väg- och vattenbyggnad (CI)

    Författare :Henrik Wall; Jonas Andersson; [1999]
    Nyckelord :Technology and Engineering;

    Sammanfattning : The purpose of this Master’s thesis has been to establish a method with which the stochastic field for the hydraulic conductivity within an aquifer can be determined. The stochastic field is characterised by the mean value and the standard deviation of the hydraulic conductivity together with a selected statistical distribution and the correlation between different points within the aquifer. LÄS MER