Modelling Implied Volatility of American-Asian Options : A Simple Multivariate Regression Approach

Modelling Implied Volatility of American-Asian Options : A Simple Multivariate Regression Approach

This report focus upon implied volatility for American styled Asian options, and a least squares approximation method as a way of estimating its magnitude. Asian option prices are calculated/approximated based on Quasi-Monte Carlo simulations and least squares regression, where a known volatility is...

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Bibliographic Details
Main Author: Radeschnig, David
Format: Others
Language:English
Published: Mälardalens högskola, Akademin för utbildning, kultur och kommunikation 2015
Subjects:
Implied Volatility
American-Asian Options
Quasi-Monte Carlo
Simulations
Weak Law of Large Numbers
K-Fold Cross Validation Test
Non-Parametic Kruskal-Wallis Test
Least Squares Approximation
Regression Tree
Pricing American Options
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-28951

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