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Please use this identifier to cite or link to this item: http://hdl.handle.net/1783.1/5118
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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