Option pricing approachPosted by admin in Future Options Trading, on 17.04.2018
Monte Carlo valuation relies on risk neutral valuation. This result is the value of option pricing approach option. In other cases, the source of uncertainty may be at a remove. Here, correlation between asset returns is likewise incorporated.
Least Square Monte Carlo is used in valuing American options. The technique works in a two step procedure. Secondly, when all states are valued for every timestep, the value of the option is calculated by moving through the timesteps and states by making an optimal decision on option exercise at every step on the hand of a price path and the value of the state that would result in. This second step can be done with multiple price paths to add a stochastic effect to the procedure. Additionally, as above, the modeller is not limited as to the probability distribution assumed.
Monte Carlo methods will usually be too slow to be competitive. With faster computing capability this computational constraint is less of a concern. Augusto Perilla, Diana Oancea, Prof. This page was last edited on 17 November 2017, at 12:21.
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