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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Dirnstorfer, S.; Grau, A.; Zagst, R. 
Nicht-TUM Koautoren:
ja 
Kooperation:
national 
Titel:
Moving Window Asian Options: Sparse Grids and Least-Squares Monte Carlo 
Abstract:
The pricing of moving window Asian options with an early exercise feature is considered as one of the most complex problems in numerical finance. The computational challenge is created by the unknown optimal exercise strategy and the high dimensionality that is required for its approximation. We use the Least Squares Monte Carlo approach together with Sparse Grid type basis functions to combine two simple and well established methods. The resulting algorithm provides a convergent and practical m...    »
 
Intellectual Contribution:
Contribution to Practice 
Zeitschriftentitel:
Open Journal of Statistics (OJS) 
Jahr:
2013 
Band / Volume:
Heft / Issue:
Seitenangaben Beitrag:
427-440 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein