Longstaff-Schwartzev algoritem za vrednotenje ameriških opcij : delo diplomskega seminarja

Petkovšek, Živa (author), Velušček, Dejan (mentor)

• Language: Slovenian
• Keywords: finančna matematika, ameriške opcije, metode Monte Carlo, Hilbertov prostor, metoda najmanjših kvadratov, Longstaff-Schwartzev algoritem
• Work type: Final seminar paper
• Typology: 2.11 - Undergraduate Thesis
• Organization: FMF - Faculty of Mathematics and Physics
• Place of publishing: Ljubljana
• Publisher: [Ž. Petkovšek]
• Year: 2013
• Number of pages: 35 str.
• PID: 20.500.12556/RUL-96952
• UDC: 519.8
• COBISS.SI-ID: 16946009
• Publication date in RUL: 17.10.2017

Secondary language

• Language: English
• Title: Longstaff Schwartz pricing of American options
• Keywords: mathematics, American options, Monte Carlo methods, least-square method, Hilbert space, Longstaff-Schwartz algorithm