American option prices and optimal exercise boundaries under Heston Model–A Least-Square Monte Carlo approach
Pricing American options has always been problematic due to its early exercise characteristic. As no closed-form analytical solution for any of the widely used models exists, many numerical approximation methods have been proposed and studied. In this thesis, we investigate the Least-Square Monte Ca...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
Mälardalens högskola, Akademin för utbildning, kultur och kommunikation
2020
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-48928 |