Pricing American-Bermudan options through least square methods

Morisi, Manfredi (A.A. 2020/2021) Pricing American-Bermudan options through least square methods. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Paolo Porchia, pp. 143. [Master's Degree Thesis]

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Foundation. Financial background. Definition of different types of option. Black-scholes model. Binomial trees. Simulative methods for options pricing. Definition. Application on European option. Numerical results. Least squares method for options pricing. The LSM algorithm. LSM convergence and robustness. Set-up of LSM model and numerical results.


Bibliografia: pp. 133-136.

Thesis Type: Master's Degree Thesis
Institution: Luiss Guido Carli
Degree Program: Master's Degree Programs > Master's Degree program in Corporate Finance, English language (LM-77)
Chair: Asset pricing
Thesis Supervisor: Porchia, Paolo
Thesis Co-Supervisor: Pirra, Marco
Academic Year: 2020/2021
Session: Extraordinary
Deposited by: Alessandro Perfetti
Date Deposited: 21 Jul 2022 12:33
Last Modified: 21 Jul 2022 12:33


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