Monte Carlo Valuation of American Options

• Main Authors: Hsing-Chih, Chang, 張幸之
• Other Authors: Dr. Chiun-Chieh Chen
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/66262666570971452736

碩士 === 樹德科技大學 === 金融與風險管理系碩士班 === 98 === Most traded options are American style, and the most special here is that both call options and put options have the characteristics of early exercise. It also relatively makes the evaluation of American options more difficult. In the past, we can only use Monte Carlo simulation to evaluate European options since it cannot fully solve the problem of early exercise while it fails to practically use American options pricing. This study aims to explore American options pricing evaluated by the Least-Square Monte Carlo Method (LSM) proposed by Longstaff and Schwartz (2001) and Black-Scholes model. The results indicated that LSMBS approach has insignificant influence in improving the precision of the evaluation of American options pricing but can reduce the variance of simulation of LSM.