A nonparametric method for pricing and hedging American options
In this paper, we study the problem of estimating the price of an American option and its price sensitivities via Monte Carlo simulation. Compared to estimating the option price which satisfies a backward recursion, estimating the price sensitivities is more challenging. With the readily-computable...
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| Main Authors: | , , |
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2013
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| 主題: | |
| 在線閱讀: | https://ink.library.smu.edu.sg/lkcsb_research/6509 https://ink.library.smu.edu.sg/context/lkcsb_research/article/7508/viewcontent/059.pdf |
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