Essays about: "David Radeschnig"

Found 1 essay containing the words David Radeschnig.

  1. 1. Modelling Implied Volatility of American-Asian Options : A Simple Multivariate Regression Approach

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : David Radeschnig; [2015]
    Keywords : Implied Volatility; American-Asian Options; Quasi-Monte Carlo; Simulations; Weak Law of Large Numbers; K-Fold Cross Validation Test; Non-Parametic Kruskal-Wallis Test; Least Squares Approximation; Regression Tree; Pricing American Options;

    Abstract : This report focus upon implied volatility for American styled Asian options, and a least squares approximation method as a way of estimating its magnitude. Asian option prices are calculated/approximated based on Quasi-Monte Carlo simulations and least squares regression, where a known volatility is being used as input. READ MORE