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美国留学生论文:美国如何选择金融产品 [4]

论文作者:meisishow论文属性:硕士毕业论文 thesis登出时间:2014-09-17编辑:meisishow点击率:8860

论文字数:3147论文编号:org201409171551237385语种:英语 English地区:美国价格:免费论文

关键词:美国金融产品留学生论文 FinanicalDerivatives

摘要:这是一篇美国的留学生论文,从此文之中我们可以学到相关的写作方法。美国的金融产品通常是指一个股票,在这里我们就来做一下分析。

will be shown further in the paper.


In this case as with most of the methods for pricing options, the most significant drawback is the duality between accuracy and processing time. In order to increase accuracy the time and stock change steps must be smaller, increasing their number and the number of computations to make, this issue also affects the stability and convergence of the methods.


Another approach used for solving the option pricing problem, especially for path dependent American options is the use of simulation. This means that the option price is derived from a simulated underlying asset price, usually using a Monte Carlo simulation method. Boyle (1977) and Schwartz (1977) pioneered the use of Monte Carlo simulation which is nowadays used to price complex options contracts. The Monte Carlo simulation method is very powerful in terms of its flexibility to generate the returns of the underlying asset of the options, by changing the random variables used to generate the process a new returns distribution may be easily obtained, Boyle (1977).


Boyle (1977) introduces the Monte Carlo technique for pricing European option where there is a dividend payment, but Schwartz (1977) was the true pioneer, pricing American options, with the underlying asset paying discrete dividends, and also deriving an optimal strategy for early exercise of the option, which is the crucial point for pricing American type options. Schwartz (1997) focused on a particular type of contract, warrants, so in fairness his first model is not exactly on an American type option.


Tilley (1993) was one of the first to fully focus on the pricing of American option using a Monte Carlo simulation method as he mentioned that simulation methods were reserved for exotic options or other complex debt products. His findings are only applied to American options on non dividend paying stocks, but he develops an important part of the model which is the optimal early exercise option.


Carriere (1996) presents a development of the Monte Carlo simulation method presented by Tilley (1993). The paper by Carriere (1996) presents a model where the optima early exercise strategy is based on conditional expectations of Markov processes by carrying a nonparametric regression on the simulated underlying asset return paths.


Brodie and Glasserman (1997) extended the previous studies by considering an upper and lower converging bounds of the option price. These estimated bounds are calculated using a high and a low bias, which 'Combining the two estimators yields a confidence interval for the true price.' Brodie and Glasserman (1997) .


One of the most important papers, and probably one of the most used ones, is the paper by Longstaff & Schwartz (2001). Their Least Squares Monte Carlo (LSM) valuation model is very simple and straight forward which combined with the accuracy of the method made it famous. Their greatest advance can be described as: 'The key to this approach is the use of least squares to estimate the conditional expected payoff to the option holder from continuation' Longstaff & Schwartz (2001). They applied their model to a series of exotic path dependent American options with great success.


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