Valuation of american interest rate options by the least-squares Monte Carlo method
Autor(a) principal: | |
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Data de Publicação: | 2011 |
Outros Autores: | |
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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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 |
_version_ |
1750318017349156864 |