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Author(s): Barbuto, Pedro Marzagão
Advisor: Dias, José Carlos
Date: 2013
Title: LSMC for pricing American options under the Heston model
Reference: Barbuto, P. M. (2013). LSMC for pricing American options under the Heston model [Dissertação de mestrado, Iscte - Instituto Universitário de Lisboa]. Repositório do Iscte.
Keywords: Least squares Monte Carlo
American option
Heston model
Stochastic simulation
Discretization schemes
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).
Degree: Mestrado em Finanças
Access type: Restricted Access
Appears in Collections:T&D-DM - Dissertações de mestrado

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