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http://hdl.handle.net/10071/6899
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Title: LSMC for pricing american pptions under the heston model
Authors: Barbuto, Pedro Marzagão
Orientador: Dias, José Carlos
Keywords: Least squares Monte Carlo
American option
Heston model
Stochastic simulation
Discretization schemes
Issue Date: 2013
Citation: BARBUTO, Pedro Marzagão - LSMC for pricing american pptions under the heston model [Em linha]. Lisboa: ISCTE-IUL, 2013. Dissertação de mestrado. [Consult. Dia Mês Ano] Disponível em www:<http://hdl.handle.net/10071/6899>.
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).
Description: Mestrado em Finanças
URI: http://hdl.handle.net/10071/6899
Appears in Collections:T&D-DM - Dissertações de mestrado

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