American Option Pricing Using Simulation : An Introduction with an Application to the GARCH Option Pricing Model

It contains an introduction to how simulation methods can be used to price American options and a discussion of various existing methods. An application using one of these methods, the regression based method, to the GARCH option pricing model is also provided

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Year of publication:	2019
Authors:	Stentoft, Lars
Publisher:	[2019]: [S.l.] : SSRN
Subject:	Optionspreistheorie \| Option pricing theory \| ARCH-Modell \| ARCH model \| Simulation

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Extent:	1 Online-Ressource (52 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: HANDBOOK OF RESEARCH METHODS AND APPLICATIONS IN EMPIRICAL FINANCE, Adrian Bell, Chris Brooks, Marcel Prokopczuk, eds., Edward Elgar Publishing, 2012 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 13, 2012 erstellt
Classification:	C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012905711