学术动态

6月4日 张志强:Pricing American Options with Alterative Least Squares Monte Carlo

时    间:2024年6月4日13:00 - 15:00

地    点:普陀校区理科大楼A1114

报告人:张志强  香港大学 讲师

主持人:吴贤毅  华东师范大学 教授

摘   要:

The valuation and optimal exercise of American options had been one of the most challenging problems in derivatives finance for long. The Least Squares Monte Carlo (LSM) method proposed by Longstaff and Schwartz is the one most used in practice. Two alternative Least Squares Monte Carlo (ALSM) methods, as well as the corresponding tests, are studied in this report. Simulation study shows the first method (ALSM1) is comparable to LSM in valuation but with “better” stopping strategies, while the second ALSM2 method supreme the LSM in both pricing and stopping.

报告人简介:

张志强, 博士, 香港大学统计与精算学系讲师及统计学及数据科学硕士项目总监


发布者:张瑛发布时间:2024-05-31浏览次数:10