American Option Pricing Using Simulation: An Introduction with an Application to the GARCH Option Pricing Model

HANDBOOK OF RESEARCH METHODS AND APPLICATIONS IN EMPIRICAL FINANCE, Adrian Bell, Chris Brooks, Marcel Prokopczuk, eds., Edward Elgar Publishing, 2012

52 Pages Posted: 25 Apr 2012

See all articles by Lars Stentoft

Lars Stentoft

Department of Economics, University of Western Ontario; Center for Interuniversity Research and Analysis on Organization (CIRANO); Aarhus University - CREATES

Date Written: March 13, 2012

Abstract

It contains an introduction to how simulation methods can be used to price American options and a discussion of various existing methods. An application using one of these methods, the regression based method, to the GARCH option pricing model is also provided.

Keywords: American options, GARCH models, simulation

JEL Classification: C22, C53, G13

Suggested Citation

Stentoft, Lars, American Option Pricing Using Simulation: An Introduction with an Application to the GARCH Option Pricing Model (March 13, 2012). HANDBOOK OF RESEARCH METHODS AND APPLICATIONS IN EMPIRICAL FINANCE, Adrian Bell, Chris Brooks, Marcel Prokopczuk, eds., Edward Elgar Publishing, 2012. Available at SSRN: https://ssrn.com/abstract=2021193

Lars Stentoft (Contact Author)

Department of Economics, University of Western Ontario ( email )

London, Ontario N6A 5B8
Canada

Center for Interuniversity Research and Analysis on Organization (CIRANO)

2020 rue University, 25th floor
Montreal H3C 3J7, Quebec
Canada

Aarhus University - CREATES

School of Economics and Management
Building 1322, Bartholins Alle 10
DK-8000 Aarhus C
Denmark

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