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Found 5 essays matching the above criteria.

  1. 1. American option prices and optimal exercise boundaries under Heston Model–A Least-Square Monte Carlo approach

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

    Author : Omar Mohammad; Rafi Khaliqi; [2020]
    Keywords : options; pricing; american; Monte-Carlo; Least square; heston model; stochastic; volatility; early exercise boundary volatility;

    Abstract : Pricing American options has always been problematic due to its early exercise characteristic. As no closed-form analytical solution for any of the widely used models exists, many numerical approximation methods have been proposed and studied. READ MORE

  3. 2. Asset and Liability Management: Optimization using Least-Squares Monte Carlo

    University essay from Lunds universitet/Matematisk statistik

    Author : Sanna Brandel; [2018]
    Keywords : Asset and liability management; Solvency capital requirement; least-squares Monte Carlo; nested Monte Carlo simulation; risk-adjusted net asset value; mean-variance optimization; Mathematics and Statistics;

    Abstract : This thesis aims to examine an efficient asset and liability management method under Solvency II regulations, and to find an optimization framework that takes complex interactions between assets and liabilities into account. The investigated approach consists of a least-squares Monte Carlo method, where least-squares regression is used to obtain a proxy function for future net asset values. READ MORE

  4. 3. Application and Evaluation of Artificial Neural Networks in Solvency Capital Requirement Estimations for Insurance Products

    University essay from KTH/Matematisk statistik

    Author : Mattias Nilsson; Erik Sandberg; [2018]
    Keywords : ;

    Abstract : The least squares Monte Carlo (LSMC) approach is commonly used in the estimation of the solvency capital requirement (SCR), as a more computationally efficient alternative to a full nested Monte Carlo simulation. This study compares the performance of artificial neural networks (ANNs) to that of the LSMC approach in the estimation of the SCR of various financial portfolios. READ MORE

  5. 4. Estimation, model selection and evaluation of regression functions in a Least-squares Monte-Carlo framework

    University essay from Linköpings universitet/Produktionsekonomi; Linköpings universitet/Tekniska högskolan

    Author : Johan Danielsson; Gustav Gistvik; [2014]
    Keywords : LSMC; Least Squares Monte-Carlo; Solvency; SCR; Regression;

    Abstract : This master thesis will investigate one solution to the problem issues with nested stochastic simulation arising when the future value of a portfolio need to be calculated. The solution investigated is the Least-squares Monte-Carlo method, where regression is used to obtain a proxy function for the given portfolio value. READ MORE

  6. 5. Pricing and Hedging of Swing Options in the European Electricity and Gas Markets

    University essay from Lunds universitet/Matematisk statistik

    Author : John Hedestig; [2014]
    Keywords : Mathematics and Statistics;

    Abstract : This report outlines a method to price and hedge a generalized swing option based on the European natural gas and electricity markets. The method is model free in that is does not assume a certain spot price dynamics. It only requires a forward curve and European call options prices that cover the delivery period of the swing option. READ MORE