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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Abstract/Index
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.
References
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 |
| URI: | https://tesi.luiss.it/id/eprint/32919 |
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