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Title:

Moving Window Asian Options: Sparse Grids and Least-Squares Monte Carlo

Document type:
Zeitschriftenaufsatz
Author(s):
Dirnstorfer, S.; Grau, A.; Zagst, R.
Non-TUM Co-author(s):
ja
Cooperation:
national
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
Journal title:
Open Journal of Statistics (OJS)
Year:
2013
Journal volume:
3
Journal issue:
6
Pages contribution:
427-440
Reviewed:
ja
Language:
en
Status:
Verlagsversion / published
Format:
Text
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
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