LSMC for pricing American options under the Heston model
| dc.contributor.advisor | Dias, José Carlos | |
| dc.contributor.author | Barbuto, Pedro Marzagão | |
| dc.date.accessioned | 2014-04-11T12:23:18Z | |
| dc.date.available | 2014-04-11T12:23:18Z | |
| dc.date.issued | 2013 | |
| dc.date.submitted | 2013-04 | por |
| dc.description.abstract | The purpose of the thesis is to price American-style options using the Least Squares Monte Carlo Method proposed by Longstaf and Schwartz (2001) combined with the well-known Heston model (1993). Regarding the discretization process of the Heston model, it will be tested three of the most important methods: Full Truncation Euler Scheme proposed by Lord et al. (2008) and, the Truncated Gaussian and Quadratic Exponential Scheme, suggested by Andersen (2008). | por |
| dc.identifier.citation | Barbuto, P. M. (2013). LSMC for pricing American options under the Heston model [Dissertação de mestrado, Iscte - Instituto Universitário de Lisboa]. Repositório do Iscte. http://hdl.handle.net/10071/6899 | pt-PT |
| dc.identifier.uri | http://hdl.handle.net/10071/6899 | |
| dc.language.iso | eng | por |
| dc.rights | restricted access | por |
| dc.subject | Least squares Monte Carlo | por |
| dc.subject | American option | por |
| dc.subject | Heston model | por |
| dc.subject | Stochastic simulation | por |
| dc.subject | Discretization schemes | por |
| dc.subject.fos | Domínio/Área Científica::Ciências Sociais::Economia e Gestão | |
| dc.title | LSMC for pricing American options under the Heston model | por |
| dc.type | masterThesis | pt-PT |
| dspace.entity.type | Publication | en |
| thesis.degree.name | Mestrado em Finanças |