Calibrating weighted Monte-Carlo method to American options
by Li Jun
vii, 53 leaves : ill. ; 30 cm
Based on the approach for calibrating Monte-Carlo models to the market prices of European style derivatives proposed by Avellaneda et. al. and the technique developed by Longstaff and Schwartz for pricing American options, we present a general calibrating approach for American style derivatives. We illustrate this method with a series of realistic examples including calibrating 15 American benchmark instruments under standard Brownian motion and jump-diffusion process, evaluating a basket option, and hedging the basket option by constructing a self-financing portfolio.
Permanent URL for this record: https://lbezone.hkust.edu.hk/bib/b706483
Post a Comment