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Showing 1 to 2 of 2 for “"Max Options"”.
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Functional quantization-based stratified sampling
… of functional stratification is then extended to options written on multiple stocks and American options priced using the Longstaff-Schwartz method. To illustrate the gains in performance we focus on geometric brownian motion (GBM), constant elasticity of variance (CEV) and constant elasticity of …
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Multi-Asset Equity Options
… of underlying assets in multi-asset equity options pricing. In this thesis, Monte Carlo simulation methods are used in order to quantify the precision of multi-asset equity options pricing. The developed quantlets in XploRe are specific to three standard types of multi-asset equity options. …