Welcome to Scribd, the world's digital library. Read, publish, and share books and documents. See more
Download
Standard view
Full view
of .
Look up keyword or section
Like this
4Activity

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
0 of .
Results for:
No results containing your search query
P. 1
Thom_longstaffSchwartz

Thom_longstaffSchwartz

Ratings: (0)|Views: 141|Likes:
Published by Kranthi Kiran

More info:

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

Availability:

Read on Scribd mobile: iPhone, iPad and Android.
download as PDF, TXT or read online from Scribd
See more
See less

07/31/2014

pdf

text

original

You're Reading a Free Preview
Pages 6 to 58 are not shown in this preview.

Activity (4)

You've already reviewed this. Edit your review.
1 thousand reads
1 hundred reads
Conan Weeks liked this
William Bench liked this

You're Reading a Free Preview

Download
scribd
/*********** DO NOT ALTER ANYTHING BELOW THIS LINE ! ************/ var s_code=s.t();if(s_code)document.write(s_code)//-->