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Tagged with american-options simulations
7 questions
6
votes
0
answers
389
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Delta-hedge experiment of American Put option
I am trying to run a delta-hedge experiment for an American Put option but there's a (systematic) hedge error which I cannot seem to understand or fix.
My implementation is found in the bottom of this ...
- 568
3
votes
0
answers
187
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Pathwise sensitivities of American options - Derivative of the American payoff function
How can I compute the derivative of the payoff function for an American put option?
In the paper "Smoking adjoints: fast Monte Carlo Greeks" by Giles and Glasserman (2006) they compare two ...
- 568
3
votes
0
answers
178
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Continuation value in Longstaff-Schwartz: Why the expected value?
In the paper by Longstaff and Schwartz on American option pricing, the continuation value at time $t_k$ is given by:
\begin{align}
F(\omega;t_k) = \mathbb{E}_Q\Big[\sum_{j=k+1}^Kexp\Big(-\int_{t_k}^{...
- 621
1
vote
0
answers
285
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Longstaff-Schwarz LS Monte Carlo - which approach is correct? [closed]
I'm trying to understand Least-Square Monte Carlo approach for pricing american options. I'm familiar with Tsitsiklis and van Roy (2001) approach where we are going backwards with:
$V_T = h(S_T)$, ...
- 11
1
vote
0
answers
128
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Valuing American Options using Tilley algorithm
Hey I want to implement Tilley's algorithm (Valuing American Options in a Path Simulation Model by JA Tilley, 1993) to price american options. Where can I find implementation of this method in any ...
- 81
2
votes
0
answers
2k
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Longstaff-Schwartz, special american option simulation using Python (numpy package)
I got a put option, which can be exercised 3 times, all at different times, which are each month of a year $$t_1 = \frac{1}{12}, t_2 = \frac{2}{12} ... t_{12} = 1$$.
Respectively, if exercised at $$...
- 273
1
vote
1
answer
214
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Andersen Broadie American/Bermudan Put
I'm trying to implement Andersen and Broadie's dual method for an upper bound (here) of a regular American Put. I understand the process to compute it, but I have a conceptual issue : everything ...
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