Valuing American options by simulation: A simple least-squares approach
Valuing American options by simulation: A simple least-squares approach
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DOI：
10.1093/rfs/14.1.113
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发表时间：
2001-03-01
影响因子：
8.2
通讯作者：
Schwartz, ES
中科院分区：
文献类型：
--
作者：
Longstaff, FA;Schwartz, ES
本文提出了一种简单而强大的新方法，通过模拟近似美式期权的价值。这种方法的关键是使用最小二乘法来估计期权持有人从延续中获得的条件预期收益。这使得这种方法很容易适用于路径依赖和多因素的情况下，传统的有限差分技术不能使用。我们用几个实际的例子来说明这种方法，包括当标的资产遵循跳跃扩散过程时对期权的估值，以及在20个因素的期限结构模型中对美式互换期权的估值。
This article presents a simple yet powerful new approach for approximating the value of American options by simulation. The key to this approach is the use of least squares to estimate the conditional expected payoff to the optionholder from continuation. This makes this approach readily applicable in path-dependent and multifactor situations where traditional finite difference techniques cannot be used. We illustrate this technique with several realistic examples including valuing an option when the underlying asset follows a jump-diffusion process and valuing an American swaption in a 20-factor suing model of the term structure.