Valuation of american interest rate options by the least-squares Monte Carlo method

Detalhes bibliográficos
Autor(a) principal: Cescato,Claudia Dourado
Data de Publicação: 2011
Outros Autores: Lemgruber,Eduardo Facó
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Pesquisa operacional (Online)
Texto Completo: http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0101-74382011000300007
Resumo: 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.
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spelling Valuation of american interest rate options by the least-squares Monte Carlo methodAmerican optionsinterest rateMonte Carlo SimulationThe 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.Sociedade Brasileira de Pesquisa Operacional2011-12-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S0101-74382011000300007Pesquisa Operacional v.31 n.3 2011reponame:Pesquisa operacional (Online)instname:Sociedade Brasileira de Pesquisa Operacional (SOBRAPO)instacron:SOBRAPO10.1590/S0101-74382011000300007info:eu-repo/semantics/openAccessCescato,Claudia DouradoLemgruber,Eduardo Facóeng2011-11-03T00:00:00Zoai:scielo:S0101-74382011000300007Revistahttp://www.scielo.br/popehttps://old.scielo.br/oai/scielo-oai.php||sobrapo@sobrapo.org.br1678-51420101-7438opendoar:2011-11-03T00:00Pesquisa operacional (Online) - Sociedade Brasileira de Pesquisa Operacional (SOBRAPO)false
dc.title.none.fl_str_mv Valuation of american interest rate options by the least-squares Monte Carlo method
title Valuation of american interest rate options by the least-squares Monte Carlo method
spellingShingle Valuation of american interest rate options by the least-squares Monte Carlo method
Cescato,Claudia Dourado
American options
interest rate
Monte Carlo Simulation
title_short Valuation of american interest rate options by the least-squares Monte Carlo method
title_full Valuation of american interest rate options by the least-squares Monte Carlo method
title_fullStr Valuation of american interest rate options by the least-squares Monte Carlo method
title_full_unstemmed Valuation of american interest rate options by the least-squares Monte Carlo method
title_sort Valuation of american interest rate options by the least-squares Monte Carlo method
author Cescato,Claudia Dourado
author_facet Cescato,Claudia Dourado
Lemgruber,Eduardo Facó
author_role author
author2 Lemgruber,Eduardo Facó
author2_role author
dc.contributor.author.fl_str_mv Cescato,Claudia Dourado
Lemgruber,Eduardo Facó
dc.subject.por.fl_str_mv American options
interest rate
Monte Carlo Simulation
topic American options
interest rate
Monte Carlo Simulation
description 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.
publishDate 2011
dc.date.none.fl_str_mv 2011-12-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0101-74382011000300007
url http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0101-74382011000300007
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 10.1590/S0101-74382011000300007
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv text/html
dc.publisher.none.fl_str_mv Sociedade Brasileira de Pesquisa Operacional
publisher.none.fl_str_mv Sociedade Brasileira de Pesquisa Operacional
dc.source.none.fl_str_mv Pesquisa Operacional v.31 n.3 2011
reponame:Pesquisa operacional (Online)
instname:Sociedade Brasileira de Pesquisa Operacional (SOBRAPO)
instacron:SOBRAPO
instname_str Sociedade Brasileira de Pesquisa Operacional (SOBRAPO)
instacron_str SOBRAPO
institution SOBRAPO
reponame_str Pesquisa operacional (Online)
collection Pesquisa operacional (Online)
repository.name.fl_str_mv Pesquisa operacional (Online) - Sociedade Brasileira de Pesquisa Operacional (SOBRAPO)
repository.mail.fl_str_mv ||sobrapo@sobrapo.org.br
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