COMPLEX DERIVATIVES VALUATION: APPLYING THE LEAST-SQUARES MONTE CARLO METHOD WITH SEVERAL POLYNOMIAL BASIS / AVALIAÇÃO DE DERIVATIVOS COMPLEXOS: APLICAÇÃO DO MÉTODO DE MÍNIMOS QUADRADOS DE MONTE CARLO COM DIVERSAS BASES POLINOMIAIS
AUTOR(ES)
URSULA SILVEIRA MONTEIRO DE LIMA
DATA DE PUBLICAÇÃO
2010
RESUMO
This work aims at studying and applying the Least-Squares Monte Carlo Method by using different polynomial basis - Power, Laguerre, Legendre and Hermite A - in pricing American Asian Options, either call or put. The results found ratify the possibility of an alternated use of several polynomial bases. Besides, each of the experiments is checked for convergence, taking into account that there may be an optimal polynomial basis for each kind of Amerasian option which is marginally more accurate regarding its pricing.
ASSUNTO(S)
derivativos metodo dos minimos quadrados de monte carlo american options opcoes americanas derivatives method of least squares monte carlo
ACESSO AO ARTIGO
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