Valuing American Options Using Monte Carlo Simulation –Derivative Pricing in Python

from Harbourfront Technologies · host Harbourfront Technologies

We are going to present a method for valuing American options using Monte Carlo simulation. This method will allow us to implement more complex option payoffs with greater flexibility, even if the payoffs are path-dependent. Specifically, we use the Least-Squares Method of Longstaff and Schwartz in order to take into account the early exercise feature. The stock price is assumed to follow the Geometrical Brownian Motion. http://tech.harbourfronts.com/derivatives/valuing-american-options-using-monte-carlo-simulation-derivative-pricing-python/

Episode metadata supplied by the publisher feed · Published Jul 30, 2020

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Valuing American Options Using Monte Carlo Simulation –Derivative Pricing in Python

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