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Valuing American Asian Options with Least Squares Monte Carlo and Low Discrepancy Sequences
Dissertation (MSc)--University of Pretoria, 2018.
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| Format: | Thesis |
| Language: | English |
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University of Pretoria
2019
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| _version_ | 1867613688413814784 |
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| access_status_str | Open Access |
| author2 | Mare, Eben |
| author_browse | Mare, Eben |
| author_facet | Mare, Eben |
| collection | Thesis |
| dc_rights_str_mv | © 2018 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
| description | Dissertation (MSc)--University of Pretoria, 2018. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/68463 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:40:07.413Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2019 |
| publishDateRange | 2019 |
| publishDateSort | 2019 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/68463 Valuing American Asian Options with Least Squares Monte Carlo and Low Discrepancy Sequences Mare, Eben u29104514@tuks.co.za Van Niekerk, Andries Jacobus UCTD Dissertation (MSc)--University of Pretoria, 2018. There exists no closed form approximation for arithmetically calculated Asian options, but research has shown that closed form approximations are possible for Geometrically calculated Asian options. The aim of this dissertation is to effectively price American Asian options with the least squares Monte Carlo approach (Longstaff & Schwartz, 2001), applying Low discrepancy sequences and variance reduction techniques. We evaluate how these techniques affect the pricing of American options and American Asian options in terms of accuracy, computational efficiency, and computational time used to implement these techniques. We consider the effect of, Laguerre-, weighted Laguerre- , Hermite-, and Monomial-basis functions on the Longstaff and Schwartz (2001) model. We briefly investigate GPU optimization of the Longstaff and Schwartz algorithm within Matlab. We also graph the associated implied and Local volatility surfaces of the American Asian options to assist in the practical applicability of these options. Mathematics and Applied Mathematics MSc Unrestricted 2019-02-15T06:42:12Z 2019-02-15T06:42:12Z 2019-04-06 2018 Dissertation Van Niekerk, AJ 2018, Valuing American Asian Options with Least Squares Monte Carlo and Low Discrepancy Sequences, MSc Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/68463> A2019 http://hdl.handle.net/2263/68463 en © 2018 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | UCTD Valuing American Asian Options with Least Squares Monte Carlo and Low Discrepancy Sequences |
| title | Valuing American Asian Options with Least Squares Monte Carlo and Low Discrepancy Sequences |
| title_full | Valuing American Asian Options with Least Squares Monte Carlo and Low Discrepancy Sequences |
| title_fullStr | Valuing American Asian Options with Least Squares Monte Carlo and Low Discrepancy Sequences |
| title_full_unstemmed | Valuing American Asian Options with Least Squares Monte Carlo and Low Discrepancy Sequences |
| title_short | Valuing American Asian Options with Least Squares Monte Carlo and Low Discrepancy Sequences |
| title_sort | valuing american asian options with least squares monte carlo and low discrepancy sequences |
| topic | UCTD |
| url | http://hdl.handle.net/2263/68463 |