valuation of american interest rate options by the least-squares monte carlo method
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ID: 260245
2011
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Abstract
The purpose of this study is to verify the efficiency and the applicability of the Least-Squares Monte Carlo method for pricing American interest rate options. Results suggest that this technique is apromising alternative to evaluate American-style interest rate options. It provides accurate option price estimates which are very close to results provided by a binomial model. Besides, actual implementation can be easily adapted to accept different interest rate models.
| Reference Key |
cescato2011pesquisavaluation
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| Authors | ;Claudia Dourado Cescato;Eduardo Facó Lemgruber |
| Journal | t\"urk ya\csam bilimleri dergisi |
| Year | 2011 |
| DOI |
10.1590/S0101-74382011000300007
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