Valuing American Style Options by Least Squares Methods

We investigate the finite sample performance of some recent Monte Carlo estimators under different market scenarios. We find that the accuracy and efficiency of these estimators are remarkable, even when more exotic financial instruments are considered. Finally, we extend the Glasserman and Yu (2004b) methodology to price Asian Bermudan options and basket options

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Year of publication:	2007-02-02
Authors:	Cerrato, Mario ; Cheung, Kan Kwok
Institutions:	Money Macro and Finance Research Group

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Extent:	application/pdf
Series:	Money Macro and Finance (MMF) Research Group Conference 2006.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series 2006 MMF Conference Papers Number 49
Classification:	G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004975694