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Calibrating weighted Monte-Carlo method to American options

Authors Li, Jun
Issue Date 2001
Summary 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.
Note Thesis (M.Phil.)--Hong Kong University of Science and Technology, 2001
Language English
Format Thesis
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