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The Theoryand Implemention Ofamerican Options Valuation Using LSM Simulation Based on GARCH Model

Author: ZhuHeJun
Tutor: HanShiZhuan
School: East China Jiaotong University
Course: Management Science and Engineering
Keywords: GARCH LSM American Stock Options GUI
CLC: F830.9
Type: Master's thesis
Year: 2011
Downloads: 82
Quote: 0
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Abstract


Options can be performed in order to solve the problems in advance , usually using least squares Monte Carlo (LSM), binary tree method and finite difference method for its pricing . However, when increasing dimension , in order to avoid the computation of the amount of storage as the dimension of the growth options exponential growth optimum choice is to use LSM method . In the pricing process, simply use the constant historical volatility option price set by the option price and the actual difference between the larger , so this article will establish volatility GARCH (1,1) model , taking into account dividends, transaction costs and other factors, as accurate description of the underlying asset volatility and option pricing stocks provide the conditions . American option pricing paper first discusses the main research methods and analysis LSM simulation option pricing research status at home and abroad , as the theoretical groundwork later . The second chapter is the volatility of financial time series of studies, including a description of the GARCH model and parameter estimation , MATLAB in financial time series modeling commonly used functions , and distribution of the stock market yield empirical test to determine whether to obey GARCH class of distributed , numerical results agree theoretical results . Chapter III of the Monte Carlo simulation using least squares method American option price systematic theoretical studies, including single asset and multiple asset American option pricing research, summarize its pricing simulation ideas, according to the simulation ideas , empirical one-dimensional , multi-dimensional model based on GARCH American option pricing . Multidimensional American options here mainly refers to the largest American options with a basket of American options . In order to make the theoretical results of the previous application made ??it more convenient and extensive chapter created in MATLAB GUI interface , and details are given of the source code to achieve the control function, the systematic pricing methods and to establish a \American option pricing model LSM ??system \The final paper for the detection of the usefulness and accuracy of the system , with the actual data on the HKEx empirical test , and propose practical value of stock options .

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