Theses and dissertations

Master
Finance
Title

LSMC for pricing American options under the Heston model

Author
Barbuto, Pedro Marzagão
Summary
en
The purpose of the thesis is to price American-style options using the Least Squares Monte Carlo Method proposed by Longstaf and Schwartz (2001) combined with the well-known Heston model (1993). Regarding the discretization process of the Heston model, it will be tested three of the most important methods: Full Truncation Euler Scheme proposed by Lord et al. (2008) and, the Truncated Gaussian and Quadratic Exponential Scheme, suggested by Andersen (2008).
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Date

11-Apr-2014

Keywords

Least squares Monte Carlo
American option
Heston model
Stochastic simulation
Discretization schemes

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