Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
Valuing American-style derivatives by simulation : alternative regression-based methods
Dissertation (MSc (Financial Engineering))--University of Pretoria, 2021.
Saved in:
| Other Authors: | |
|---|---|
| Format: | Thesis |
| Language: | English |
| Published: |
University of Pretoria
2021
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|
| _version_ | 1867613469167058944 |
|---|---|
| access_status_str | Open Access |
| author2 | Mare, Eben |
| author_browse | Mare, Eben |
| author_facet | Mare, Eben |
| collection | Thesis |
| dc_rights_str_mv | © 2019 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 (Financial Engineering))--University of Pretoria, 2021. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/80947 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:36:38.421Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2021 |
| publishDateRange | 2021 |
| publishDateSort | 2021 |
| 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:2263/80947 Valuing American-style derivatives by simulation : alternative regression-based methods Mare, Eben u14068992@tuks.co.za Moutzouris, Vasili American options Monte Carlo simulation UCTD Dissertation (MSc (Financial Engineering))--University of Pretoria, 2021. American-style derivatives remain one of the most complex financial instruments to price due to their early-exercise feature. The aim of this dissertation is to effectively price various exotic American-style derivatives with algorithms proposed by Longstaff and Schwartz (2001) and Tsitsklis and Van Roy (2001). The effect of utilising in-themoney paths against all paths for the regression is investigated, and the robustness of the algorithms proposed by Longstaff-Schwartz and Tsitskilis-Roy to a change in polynomial basis functions is analysed. We compute upper and lower bounds for the value of a Bermudan put option using the technique proposed by Andersen and Broadie (2004). We further evaluate the accuracy and efficiency of using nonparametric kernel regression and support vector regression to replace the least-squares regression component of the Longstaff-Schwartz algorithm. Numerical results indicate that nonparametric regression and the Longstaff-Schwartz algorithm are superior. The Tsitsiklis-Roy algorithm produces the least desirable results as it contains a high bias, and support vector regression produces reasonable results at the expense of substantially reduced efficiency. Mathematics and Applied Mathematics MSc (Financial Engineering) Unrestricted 2021-07-22T08:52:29Z 2021-07-22T08:52:29Z 2021-09 2021 Dissertation * S2021 http://hdl.handle.net/2263/80947 en © 2019 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 | American options Monte Carlo simulation UCTD Valuing American-style derivatives by simulation : alternative regression-based methods |
| title | Valuing American-style derivatives by simulation : alternative regression-based methods |
| title_full | Valuing American-style derivatives by simulation : alternative regression-based methods |
| title_fullStr | Valuing American-style derivatives by simulation : alternative regression-based methods |
| title_full_unstemmed | Valuing American-style derivatives by simulation : alternative regression-based methods |
| title_short | Valuing American-style derivatives by simulation : alternative regression-based methods |
| title_sort | valuing american style derivatives by simulation alternative regression based methods |
| topic | American options Monte Carlo simulation UCTD |
| url | http://hdl.handle.net/2263/80947 |