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University of Western Ontario

1. Mohammadhasani Khorasany, Rahim. Valuation of Multiple Exercise Option Using a Modified Longstaff and Schwartz Approach.

Degree: 2018, University of Western Ontario

In this work we study the problem of pricing multiple exercise options, a class of early exercise options that are traded in the energy market, using a modified Longstaff and Schwartz approach. Recent work by Letourneau and Stentoft (2014) shows American option price estimator bias is reduced by imposing additional structure on the regressions used in Monte Carlo pricing algorithms. We extend their methodology to the Monte Carlo valuation of multiple exercise options by requiring additional structure on the regressions used to estimate continuation values. The resulting price estimators have reduced bias, particularly for small sample sizes, and results hold across a variety of option types, maturities and moneyness. A comparison of the original Longstaff and Schwartz approach to the modified Longstaff and Schwartz approach demonstrates the strengths of the developed numerical technique.

Subjects/Keywords: Modified Longstaff and Schwartz; Monte Carlo; Regression; Multiple Exercise Option

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Mohammadhasani Khorasany, R. (2018). Valuation of Multiple Exercise Option Using a Modified Longstaff and Schwartz Approach. (Thesis). University of Western Ontario. Retrieved from https://ir.lib.uwo.ca/etd/5626

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Mohammadhasani Khorasany, Rahim. “Valuation of Multiple Exercise Option Using a Modified Longstaff and Schwartz Approach.” 2018. Thesis, University of Western Ontario. Accessed November 13, 2018. https://ir.lib.uwo.ca/etd/5626.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Mohammadhasani Khorasany, Rahim. “Valuation of Multiple Exercise Option Using a Modified Longstaff and Schwartz Approach.” 2018. Web. 13 Nov 2018.

Vancouver:

Mohammadhasani Khorasany R. Valuation of Multiple Exercise Option Using a Modified Longstaff and Schwartz Approach. [Internet] [Thesis]. University of Western Ontario; 2018. [cited 2018 Nov 13]. Available from: https://ir.lib.uwo.ca/etd/5626.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Mohammadhasani Khorasany R. Valuation of Multiple Exercise Option Using a Modified Longstaff and Schwartz Approach. [Thesis]. University of Western Ontario; 2018. Available from: https://ir.lib.uwo.ca/etd/5626

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

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