Valuation of american interest rate options by the least-squares Monte Carlo method

AUTOR(ES)

Cescato, Claudia Dourado, Lemgruber, Eduardo Facó

FONTE

Pesquisa Operacional

DATA DE PUBLICAÇÃO

2011-12

RESUMO

The purpose of this study is to verify the efficiency and the applicability of the Least-Squares Monte Carlo method for pricing American interest rate options. Results suggest that this technique is apromising alternative to evaluate American-style interest rate options. It provides accurate option price estimates which are very close to results provided by a binomial model. Besides, actual implementation can be easily adapted to accept different interest rate models.

Documentos Relacionados

• COMPLEX DERIVATIVES VALUATION: APPLYING THE LEAST-SQUARES MONTE CARLO METHOD WITH SEVERAL POLYNOMIAL BASIS
• Strong consistency of least-squares estimates in regression models
• Spreadsheet Method for Evaluation of Biochemical Reaction Rate Coefficients and Their Uncertainties by Weighted Nonlinear Least-Squares Analysis of the Integrated Monod Equation
• A Generalized Least-Squares Estimate for the Origin of Sporophytic Self-Incompatibility
• A numerical investigation of inertia flows of Bingham-Papanastasiou fluids by an extra stress-pressure-velocity galerkin least-squares method