Hedging & Pricing of Options using least squares through simulation : Application to the Black-Scholes and the Heston Models
Language: English
Published by LAP LAMBERT Academic Publishing, 2011
- Softcover
- New
Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH
AbeBooks seller since August 14, 2006
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nach der Bestellung gedruckt Neuware - Printed after ordering - The enormous growth of derivatives markets necessitates the pricing and hedging of derivative contracts accurately and efficiently. This work extends the pricing approach introduced by Longstaff and Schwartz to a stochastic volatility model, namely the Heston Model. The method employed is also used to compute the Option Greeks extending the approach of the paper Hedging using simulation: a least squares approach by Tebaldi. A number of options are considered ranging from plain vanilla to exotics such as Power put and Binary (Asset-or-Nothing) put options in the Black-Scholes model. Finally the methodology is applied to the Heston Model wherein a plain vanilla European call is priced and hedged and the plain vanilla American put option is priced. The price as well as Option Greeks are compared against well-known procedures used in the industry today. Researchers as well as academicians concerned with hedging of derivative contracts would find this work useful.…
Seller Inventory # 9783844333411
- Title
- Hedging & Pricing of Options using least squares through simulation : Application to the Black-Scholes and the Heston Models
- Author
- Ravindra Chitlangi
- Publisher
- LAP LAMBERT Academic Publishing
- Publication year
- 2011
- Condition
- Neu
- Binding
- Taschenbuch
- Language
- English
- ISBN 10
- 384433341X
- ISBN 13
- 9783844333411
- Item weight
- 113 grams
- Dimensions
- 220x150x4 mm
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