Valuation of american interest rate options by the least-squares Monte Carlo method

Pesquisa Operacional

Claudia Dourado Cescato²  Eduardo Facó Lemgruber¹ 

[1] ,UFRJ COPPEAD Rio de Janeiro RJ ,Brasil

关键词: American options;    interest rate;    Monte Carlo Simulation;   

DOI  :  10.1590/S0101-74382011000300007

来源: SciELO

【 摘 要 】

The purpose of this study is to verify the efficiency and the applicability of the Least-Squares Monte Carlo method for pricing American interest rate options. Results suggest that this technique is apromising alternative to evaluate American-style interest rate options. It provides accurate option price estimates which are very close to results provided by a binomial model. Besides, actual implementation can be easily adapted to accept different interest rate models.

【 授权许可】

CC BY   
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