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Valuing American style derivatives by least squares methods

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Cerrato, Mario (2007) Valuing American style derivatives by least squares methods. Centre for International Capital Markets discussion papers, 2007 (13). pp. 1-24. ISSN 1749-3412

Abstract

We implement some recent Monte Carlo estimators for option pricing and assess their performance in finite samples. We find that the accuracy of these estimators is remarkable, even when more exotic financial derivatives are considered. Finally, we implement the Glasserman and Yu (2004b) methodology to price Asian Bermudan options and basket options.

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Details
Title:
Valuing American style derivatives by least squares methods
Creators:
Cerrato, Mario
Official URL:
http://www.londonmet.ac.uk/media/london-metropolit...
Date:
2007
Subjects:
300 Social sciences > 330 Economics
Department:
Guildhall School of Business and Law
Publisher:
Centre for International Capital Markets, London Metropolitan University
Uncontrolled Keywords:
Centre for International Capital Markets discussion papers; CICM discussion papers; American options; Monte Carlo method
Record
URI:
https://repository.londonmet.ac.uk/id/eprint/497
Item Type:
Article
Depositing User:
Mary Burslem
Date Deposited:
23 Apr 2015 10:42
Revision:
10
Last Modified:
23 Apr 2015 10:42
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