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Table Of Contents

1. Introduction
2. Theory and Algorithms
2.1. Longstaff Schwartz
2.1.1. The Basic Algorithm
2.1.2. Convergence theory
2.1.3. Alternate High Biased Estimate
2.1.4. Pathwise greeks
2.1.5. Likelihood ratio greeks
2.2. Control Methods
2.2.1. Binomial tree pricing of Bermudan options
2.2.2. Finite difference Theta-Scheme for Bermudan options
3. Application to Exotic Option
3.1. Longstaff Schwartz in 2-dimensions
3.2. Pathwise greeks in 2-dimensions
4. Implementation of Techniques
4.1. Implementation issues in 1-dimensional case
4.2. Implementation in 2-dimensional case
5. Numerical Results
5.1. Convergence of Algorithms
5.2. Hedging Error
5.3. Results for 2 dimensional option
6. Conclusions and Final Remarks
A. The Matlab Code
A.1. Regression code
A.2. Code for Evaluation of Price in 1-dimension
A.3. Code for Pathwise Greeks in 1-dimension
A.4. Code for Likelihood Greeks in 1-dimension
A.5. Code for Longstaff-Schwartz in 2-dimensions
A.5.1. Code for Regression in 2-dimensions
A.5.2. Code for Evaluation in 2-dimensions
A.5.3. Code for Pathwise Greeks in 2-dimensions
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Published by Kranthi Kiran

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Published by: Kranthi Kiran on Mar 07, 2012
Copyright:Attribution Non-commercial


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