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http://hdl.handle.net/10071/6899| Author(s): | Barbuto, Pedro Marzagão |
| Advisor: | Dias, José Carlos |
| Date: | 2013 |
| Title: | LSMC for pricing American options under the Heston model |
| Reference: | Barbuto, P. M. (2013). LSMC for pricing American options under the Heston model [Dissertação de mestrado, Iscte - Instituto Universitário de Lisboa]. Repositório do Iscte. http://hdl.handle.net/10071/6899 |
| Keywords: | Least squares Monte Carlo American option Heston model Stochastic simulation Discretization schemes |
| Abstract: | The purpose of the thesis is to price American-style options using the Least Squares Monte Carlo Method proposed by Longstaf and Schwartz (2001) combined with the well-known Heston model (1993). Regarding the discretization process of the Heston model, it will be tested three of the most important methods: Full Truncation Euler Scheme proposed by Lord et al. (2008) and, the Truncated Gaussian and Quadratic Exponential Scheme, suggested by Andersen (2008). |
| Degree: | Mestrado em Finanças |
| Access type: | Restricted Access |
| Appears in Collections: | T&D-DM - Dissertações de mestrado |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| master_pedro_marzagao_barbuto.pdf Restricted Access | 1,1 MB | Adobe PDF | View/Open Request a copy |
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