Pricing American options using the Stochastic Grid Method with Bundling

Title

Pricing American options using the Stochastic Grid Method with Bundling

 Author

De Jong, S.D.

Contributor

Oosterlee, C.W. (mentor)
Jain, S. (mentor)

Faculty

Electrical Engineering, Mathematics and Computer Science

 Department

Applied mathematics

 Date

2012-07-13

 Abstract

Pricing American options using a sophisticated technique combining Monte Carlo simulations and least squares regressions. This way an approximation for the option price can be derived with little computational effort.

 Subject

SGM
Monte Carlo
American option

 To reference this document use:

http://resolver.tudelft.nl/uuid:8a5d7eda-c0a0-4f97-adb3-9f4010606f59

 Part of collection

Student theses

 Document type

master thesis

 Rights

(c) 2012 De Jong, S.D.
Files
PDF Masterthesis.pdf 512.44 KB
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