Zobrazeno 1 - 6
of 6
pro vyhledávání: '"Tommaso Paletta"'
Autor:
Tommaso Paletta, Radu Tunaru
Publikováno v:
The Journal of Derivatives. 29:40-59
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e5abf171973365993171bc658c19493e
https://doi.org/10.3905/jod.2022.1.161
https://doi.org/10.3905/jod.2022.1.161
Longstaff-Schwartz's least squares Monte Carlo method is one of the most applied numerical methods for pricing American-style derivatives. We examine the algorithms regression step, demonstrating that the OLS regression is not the best linear unbiase
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c53d1907447df0265f7328c2a8d3b2ae
http://sro.sussex.ac.uk/id/eprint/89492/1/__smbhome.uscs.susx.ac.uk_tjk30_Documents_EJOR2017_accepted_manuscript.pdf
http://sro.sussex.ac.uk/id/eprint/89492/1/__smbhome.uscs.susx.ac.uk_tjk30_Documents_EJOR2017_accepted_manuscript.pdf
The majority of quasi-analytic pricing methods for American options are efficient near maturity but are prone to larger errors when time-to-maturity increases. We introduce a new methodology to increase the accuracy of almost any existing quasi-analy
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b3545561470c1fd041ad31a703276466
http://sro.sussex.ac.uk/id/eprint/89689/1/__smbhome.uscs.susx.ac.uk_tjk30_Documents_paper_Feb16-RR.pdf
http://sro.sussex.ac.uk/id/eprint/89689/1/__smbhome.uscs.susx.ac.uk_tjk30_Documents_paper_Feb16-RR.pdf
Theoretical models applied to option pricing should take into account the empirical characteristics of the underlying financial time series. In this paper, we show how to price basket options when assets follow a shifted log-normal process with jumps
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::197a234e1570b2aa41c78cf2a4f952ce
Publikováno v:
Mathematical and Statistical Methods for Actuarial Sciences and Finance ISBN: 9783319050133
The empirical characteristics of the underlying asset prices should be taken into account for the pricing and hedging of options. In this paper, we show how to price basket options when assets follow the “shifted asymmetric jump-diffusion” proces
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::28d009c0cfcb0eade77b6be0c235283c
https://doi.org/10.1007/978-3-319-05014-0_38
https://doi.org/10.1007/978-3-319-05014-0_38
Publikováno v:
SSRN Electronic Journal.
The majority of quasi-analytic pricing methods for American options are efficient near-maturity but are prone to larger errors when time-to-maturity increases. A new methodology, called the "extension"-method, is introduced to increase the accuracy o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::aa7da43a5d8d3308c6ee8a4d22791edd
https://doi.org/10.2139/ssrn.2514504
https://doi.org/10.2139/ssrn.2514504