Sökning: "least squares Monte Carlo"

Visar resultat 16 - 20 av 21 uppsatser innehållade orden least squares Monte Carlo.

  1. 16. Modelling Implied Volatility of American-Asian Options : A Simple Multivariate Regression Approach

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

    Författare :David Radeschnig; [2015]
    Nyckelord :Implied Volatility; American-Asian Options; Quasi-Monte Carlo; Simulations; Weak Law of Large Numbers; K-Fold Cross Validation Test; Non-Parametic Kruskal-Wallis Test; Least Squares Approximation; Regression Tree; Pricing American Options;

    Sammanfattning : This report focus upon implied volatility for American styled Asian options, and a least squares approximation method as a way of estimating its magnitude. Asian option prices are calculated/approximated based on Quasi-Monte Carlo simulations and least squares regression, where a known volatility is being used as input. LÄS MER

  3. 17. Pricing swing options in the electricity market

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Caroline Olofsson; [2015]
    Nyckelord :Mathematics and Statistics;

    Sammanfattning : The thesis deals with how to price swing options in the electricity market by using a least squares Monte Carlo method. This is a simulation method which uses a backwards moving algorithm where the optimal decision is calculated at every time step. LÄS MER

  4. 18. Estimation, model selection and evaluation of regression functions in a Least-squares Monte-Carlo framework

    Master-uppsats, Linköpings universitet/Produktionsekonomi; Linköpings universitet/Tekniska högskolan

    Författare :Johan Danielsson; Gustav Gistvik; [2014]
    Nyckelord :LSMC; Least Squares Monte-Carlo; Solvency; SCR; Regression;

    Sammanfattning : This master thesis will investigate one solution to the problem issues with nested stochastic simulation arising when the future value of a portfolio need to be calculated. The solution investigated is the Least-squares Monte-Carlo method, where regression is used to obtain a proxy function for the given portfolio value. LÄS MER

  5. 19. Diffuse reflectance spectroscopy as a tool to evaluate liver tissue

    Master-uppsats, Lunds universitet/Matematisk fysik; Lunds universitet/Atomfysik

    Författare :Therese Alburg; David Kraus; [2014]
    Nyckelord :diffuse reflectance spectroscopy; drs; biophotonics; medical optics; diffusion; tissue evaluation; Technology and Engineering;

    Sammanfattning : The shape of a diffuse reflectance spectra can provide knowledge about tissue composition. By analysing this spectra one can, with the right evaluation methods, find out information about the tissue. LÄS MER

  7. 20. Game contingent claims

    Magister-uppsats, KTH/Matematisk statistik

    Författare :Daniel Eliasson; [2012]
    Nyckelord :Game contingent claims; game options; Israeli options; Dynkin games; zero-sum games; non-zero-sum games; Monte-Carlo simulation; pricing;

    Sammanfattning : Abstract Game contingent claims (GCCs), as introduced by Kifer (2000), are a generalization of American contingent claims where the writer has the opportunity to terminate the contract, and must then pay the intrinsic option value plus a penalty. In complete markets, GCCs are priced using no-arbitrage arguments as the value of a zero-sum stochastic game of the type described in Dynkin (1969). LÄS MER