Assessing LSMC for the KT General Real Options Pricing Model Год выпуска: 2010Автор: Giuseppe AlesiiИздательство: LAP Lambert Academic PublishingСтраниц: 96ISBN: 9783838390451Описание We assess the applicability of (Longstaff and Schwartz, 2001) Least Squares Monte Carlo method to the General Real Options Pricing Model of (Kulatilaka and Trigeorgis, 1994). We study LSMC under six different stochastic processes: GBM, up to three dimensions, models 1, 2 and 3 in (Schwartz, 1997), benchmarking every application by lattice methods. We explore empirically a generalization of proposition 1 page 124 in (Longstaff and Schwartz, 2001) with respect to the number of discretization points, of basis functions and the number of simulated paths. We study the speed precision tradeoff of LSMC individual estimates. Finally, we show their statistical properties.
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Ирина Юлия, добрый вечер! Я сдала диплом после вашего сопровождения на 5. Спасибо Вам! Конечно все выводы и заключения наши были исправленны! Однако, хочу сказать, что мы двоем защищались у этого научного руководителя и все было достойно! Я не верила, что в МГУ серьезные требования!!! Ан нет!!! Всего Вам доброго! Все-равно спасибо!!!
