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- W767121398 abstract "Option pricing is an important area in the daily activities of banks and other actors in the financial markets. The most common type of options are of American type, which are contracts giving the buyer of the option the right, but not the obligation, to buy or sell an underlying asset, with the addition that this right can be exercised at any time up until expiry. The last condition means that the pricing of American options is much harder than the European version, that only allow exercise at the expiration of the contract. A common algorithm for pricing American options is the Longstaff-Schwartz method. This method is relatively easy to understand and implement, but its accuracy is limited due to a number numerical factors. This report will study the accuracy and try to improve my implementation of this algorithm." @default.
- W767121398 created "2016-06-24" @default.
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- W767121398 date "2015-01-01" @default.
- W767121398 modified "2023-09-27" @default.
- W767121398 title "Evaluating the Longstaff-Schwartz method for pricing of American options" @default.
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- W767121398 hasPublicationYear "2015" @default.
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