In this paper, the authors propose improvements to the approach of Ramírez-Espinoza and Ehrhardt (2013) for option-pricing PDEs formulated in the conservative form.
In this paper, the authors construct strategies for an American option portfolio by exercising options at optimal timings with optimal weights determined concurrently.
Research on AAD is not complete until it becomes easier to implement, says quant
High-dimension problems can be solved with discretisation techniques
Fiorin, Callegaro and Grasselli show how discretisation methods reduce computing time in high-dimensional problems
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.
Quants develop model that fixes a longstanding problem with pricing American options
De Marco and Henry-Labordère provide an approximation of American options in terms of the local volatility function
Ignoring valuation adjustments could be storing up problems for the future
This paper presents a high-performance spectral collocation method for the computation of American put and call option prices.
The authors propose a novel method for efficiently comparing the performance of different stopping times.
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…
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
Trade of the month: Linear payout combinations
The persistency problem
Lukens Energy Group’s Hugh Li sets out an option method for valuing exploration and production projects, using a practical example
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…
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…