Pricing American Options using Monte Carlo Method
This thesis reviewed a number of Monte Carlo based methods for pricing American options. The least-squares regression based Longstaff-Schwartz method (LSM) for approximating lower bounds of option values and the Duality approach through martingales for estimating the upper bounds of option values we...
Main Author: | |
---|---|
Format: | Thesis |
Published: |
University of Oxford;Mathematical Institute
2012
|