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Value Function Approximation or Stopping Time Approximation : A Comparison of Two Recent Numerical Methods for American Option Pricing using Simulation and Regression
Stentoft, Lars - 2012
In Longstaff and Schwartz (2001) a method for American option pricing using simulation and regression is suggested, and … since then the method has rapidly gained importance. However, the idea of using regression and simulation for American …
Persistent link: https://www.econbiz.de/10014212073
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Just-in-Time Monte Carlo for Path Dependent American Options
Dutt, Samir K.; Welke, Gerd - 2008
We establish simple analytical and numerical methods for propagating stochastic price processes backwards in time, step by step, to the initial value while satisfying all cross-sectional and serial requirements. This proves useful in dealing with complex path-dependent options with American...
Persistent link: https://www.econbiz.de/10014057875
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Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing
Kim, Young Shin - In: Journal of risk and financial management : JRFM 14 (2021) 2/77, pp. 1-18
This paper proposes the sample path generation method for the stochastic volatility version of the CGMY process. We present the Monte-Carlo method for European and American option pricing with the sample path generation and calibrate model parameters to the American style S&P 100 index options...
Persistent link: https://www.econbiz.de/10012484130
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Evaluation of options using the Black-Scholes methodology
Brătian, Vasile - In: Expert journal of economics 7 (2019) 2, pp. 59-65
this paper with our results in an article where we determined the values for Call and Put by Monte Carlo simulation. …
Persistent link: https://www.econbiz.de/10012131594
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Evaluation of options using the Monte Carlo method and the entropy of information
Brătian, Vasile - In: Expert journal of economics 6 (2018) 2, pp. 35-43
In the present paper, there are presented, theoretical and applicative, two issues: the evaluation of the European options using the Monte Carlo method and the measurement of the entropy of information for the price of the underlying asset of the option. The underlying asset used in our analyses...
Persistent link: https://www.econbiz.de/10012062932
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Efficient Monte Carlo Barrier Option Pricing When the Underlying Security Price Follows a Jump-Diffusion Process
Ross, Sheldon - 2013
We present efficient simulation procedures for pricing barrier options when the underlying security price follows a … geometric Brownian motion with jumps. Metwally and Atiya [2002] developed a simulation approach for pricing knock-out options in … applications of well-known variance reduction techniques. We also show how to use simulation to price knock-in options. Numerical …
Persistent link: https://www.econbiz.de/10013073825
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Options on Realized Variance by Transform Methods : A Non-Affine Stochastic Volatility Model
Drimus, Gabriel G. - 2012
In this paper we study the pricing and hedging of options on realized variance in the 3/2 non-affine stochastic volatility model, by developing efficient transform based pricing methods. This non-affine model gives prices of options on realized variance which allow upward sloping implied...
Persistent link: https://www.econbiz.de/10013116726
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Moments of integrated exponential Lévy processes and applications to Asian options pricing
Brignone, Riccardo - 2022
efficient simulation scheme based on conditional moments. These methodologies are applied for Asian option pricing, an important …
Persistent link: https://www.econbiz.de/10013291152
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Machine Learning SABR Model of Stochastic Volatility With Lookup Table
Lokvancic, Mahir - 2020
We present an embarrassingly simple method for supervised learning of SABR model's European option price function based on lookup table or rote machine learning. Performance in time domain is comparable to generally used analytic approximations utilized in financial industry. However, unlike the...
Persistent link: https://www.econbiz.de/10012835457
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Option pricing and portfolio optimization under a multi-asset jump-diffusion model with systemic risk
Makarov, Roman - In: Risks : open access journal 11 (2023) 12, pp. 1-24
We explore a multi-asset jump-diffusion pricing model, combining a systemic risk asset with several conditionally independent ordinary assets. Our approach allows for analyzing and modeling a portfolio that integrates high-activity security, such as an exchange trading fund (ETF) tracking a...
Persistent link: https://www.econbiz.de/10014446758