资源描述：
《A Primal-Dual Simulation Algorithm for》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。
1、APrimal-DualSimulationAlgorithmforPricingMulti-DimensionalAmericanOptionsLeifAndersenMarkBroadieThisrevision:November2001July2001AbstractThispaperdescribesapracticalalgorithmbasedonMonteCarlosimulationforthepricingofmulti-dimensionalAmerican(i.e.,continuouslyexercisable)andBermudan(i.
2、e.,discretely-exercisable)options.ThemethodgeneratesbothlowerandupperboundsfortheBermudanoptionpriceandhencegivesvalidcon denceintervalsforthetruevalue.Lowerboundscanbegeneratedusinganynumberofprimalalgorithms.UpperboundsaregeneratedusinganewMonteCarloalgorithmbasedonthedualityrepresenta
3、tionoftheBermudanvaluefunc-tionsuggestedindependentlyinHaughandKogan(2001)andRogers(2001).Ourproposedalgorithmcanhandlevirtuallyanytypeofprocessdynamics,factorstructure,andpayoutspeci cation.Computationalresultsforavarietyofmulti-factorequityandinterestrateop-tionsdemonstratethesimplicit
4、yandeciencyoftheproposedalgorithm.Inparticular,weusetheproposedmethodtoexamineandverifythetightnessoffrequentlyusedexerciserulesinBermudanswaptionmarkets.Keywords:Americanoptions,Bermudanoptions,Bermudanswaptions,MonteCarlosimula-tion,Libormarketmodel,optionpricing,multiplestatevariable
5、s,realoptions.AndersenisatGeneralReSecurities,630FifthAvenue,Suite450,NewYork,NY10111.E-mail:landerse@genre.com.Broadie(correspondingauthor)isatColumbiaUniversity,GraduateSchoolofBusiness,3022Broadway,NewYork,NY,10027-6902.E-mail:mnb2@columbia.edu.ThispaperwaspresentedattheRISKcourses
6、onMonteCarloTechniquesinLondonandNewYork,theICBIGlobalDerivativesandRiskManagement2001conferenceinJuan-les-Pins,France,the2001InternationalQuantitativeFinanceConferenceinTaipei,Taiwan,andaseminaratNorthwesternUniversity.ThismaterialisbaseduponworksupportedbytheNationalScienceFoundationun
7、derGrantNo.DMS-0074637.1.IntroductionClosed-formexpressionshavebeenderivedformanyEuropeanoptionsunderavarietyof nancialmodels,themostnotablebeingtheBlack-ScholesformulaforequityoptionsunderthegeometricBrownianmotionmodel.Todatenosimilarexpressionshavebeenfoundfortheprices
