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| Title: | Calibrating weighted Monte-Carlo method to American options |
| Authors: | Li, Jun |
| Issue Date: | 2001 |
| Abstract: | Based on the approach for calibrating Monte-Carlo models to the market prices of European style derivatives proposed by Avellaneda et. al. and the technique developed by Longstaff and Schwartz for pricing American options, we present a general calibrating approach for American style derivatives. We illustrate this method with a series of realistic examples including calibrating 15 American benchmark instruments under standard Brownian motion and jump-diffusion process, evaluating a basket option, and hedging the basket option by constructing a self-financing portfolio. |
| Description: | Thesis (M.Phil.)--Hong Kong University of Science and Technology, 2001
vii, 53 leaves : ill. ; 30 cm
HKUST Call Number: Thesis MATH 2001 LiJ |
| URI: | http://hdl.handle.net/1783.1/5118 |
| Appears in Collections: | MATH Master Theses
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