LSMC for pricing American options under the Heston model

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DC Field	Value	Language
dc.contributor.advisor	Dias, José Carlos	-
dc.contributor.author	Barbuto, Pedro Marzagão	-
dc.date.accessioned	2014-04-11T12:23:18Z	-
dc.date.available	2014-04-11T12:23:18Z	-
dc.date.issued	2013	-
dc.date.submitted	2013-04	por
dc.identifier.citation	Barbuto, P. M. (2013). LSMC for pricing American options under the Heston model [Dissertação de mestrado, Iscte - Instituto Universitário de Lisboa]. Repositório do Iscte. http://hdl.handle.net/10071/6899	pt-PT
dc.identifier.uri	http://hdl.handle.net/10071/6899	-
dc.description.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).	por
dc.language.iso	eng	por
dc.rights	restrictedAccess	por
dc.subject	Least squares Monte Carlo	por
dc.subject	American option	por
dc.subject	Heston model	por
dc.subject	Stochastic simulation	por
dc.subject	Discretization schemes	por
dc.title	LSMC for pricing American options under the Heston model	por
dc.type	masterThesis	pt-PT
dc.subject.fos	Domínio/Área Científica::Ciências Sociais::Economia e Gestão	-
thesis.degree.name	Mestrado em Finanças	-
Appears in Collections:	T&D-DM - Dissertações de mestrado

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