Valuation of american interest rate options by the least-squares Monte Carlo method
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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Sociedade Brasileira de Pesquisa Operacional
2011-12-01
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| Series: | Pesquisa Operacional |
| Subjects: | |
| Online Access: | http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0101-74382011000300007&lng=en&tlng=en |