American options
Portfolio optimization for American options
In this paper, the authors construct strategies for an American option portfolio by exercising options at optimal timings with optimal weights determined concurrently.
Podcast: Fries on Monte Carlo, Greeks and the future of AAD
Research on AAD is not complete until it becomes easier to implement, says quant
Podcast: Callegaro, Fiorin and Grasselli on quantization
High-dimension problems can be solved with discretisation techniques
American quantized calibration in stochastic volatility
Fiorin, Callegaro and Grasselli show how discretisation methods reduce computing time in high-dimensional problems
A hybrid tree/finite-difference approach for Heston–Hull–White-type models
In this paper, the authors study a hybrid tree/finite-difference method, which allows us to obtain efficient and accurate European and American option prices in the Heston–Hull– White and Heston–Hull–White2d models.
Quantitative finance still needs mathematicians
Quants develop model that fixes a longstanding problem with pricing American options
Local volatility from American options
De Marco and Henry-Labordère provide an approximation of American options in terms of the local volatility function
Why XVAs need to be factored into options pricing
Ignoring valuation adjustments could be storing up problems for the future
High-performance American option pricing
This paper presents a high-performance spectral collocation method for the computation of American put and call option prices.
Faster comparison of stopping times by nested conditional Monte Carlo
The authors propose a novel method for efficiently comparing the performance of different stopping times.
American options: time-critical pricing
Time constraints can be binding for ‘heavy’ Monte Carlo calculations of risk analytics – value-at-risk, potential future exposure, credit valuation adjustment – in intraday risk monitoring, so fast approximations are sometimes preferred. Vladislav…
Pricing American-style options by Monte Carlo simulation: alternatives to ordinary least squares
The authors investigate the performance of the ordinary least squares (OLS) regression method in Monte Carlo simulation algorithms for pricing American options.
Mariana Capital offers FTSE 100 autocall
Mariana Capital offers FTSE 100 autocall
Product performance
Product performance
Trade of the month: Linear payout combinations
Trade of the month: Linear payout combinations
Estimating and reducing lapse risk
The persistency problem
Valuing exploration and production projects
Lukens Energy Group’s Hugh Li sets out an option method for valuing exploration and production projects, using a practical example
Project risk: improving Monte Carlo value-at-risk
Cashflows from projects and other structured deals can be as complicated as we are willing to allow, but the complexities of Monte Carlo project modelling need not complicate value-at-risk calculation. Here, Andrew Klinger imports least-squares valuation…
Why be backward?
Originally developed as a tool for calibrating smile models, so-called forward methods can also be used to price options and derive Greeks. Here, Peter Carr and Ali Hirsa apply the technique to the pricing of continuously exercisable American-style put…
Trees from history
Option pricing