valuation of american interest rate options by the least-squares monte carlo method

valuation of american interest rate options by the least-squares monte carlo method

;Claudia Dourado Cescato;Eduardo Facó Lemgruber
t\"urk ya\csam bilimleri dergisi 2011 Vol. 31 pp. 521-541
193
cescato2011pesquisavaluation

Abstract

The purpose of this study is to verify the efficiency and the applicability of the Least-Squares Monte Carlo method for pricing American interest rate options. Results suggest that this technique is apromising alternative to evaluate American-style interest rate options. It provides accurate option price estimates which are very close to results provided by a binomial model. Besides, actual implementation can be easily adapted to accept different interest rate models.

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0x95644003c57E6F55A65596E3D9Eac6813e3566dA
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260245
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10.1590/S0101-74382011000300007
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