Department News
Pricing of American-Style Options via Monte Carlo Simulation
Seminar Date
2000-07-19
Author
김흥규
Date
2000-07-19
Views
1186
1. 제목 : Pricing of American-Style Options via Monte Carlo Simulation
2. 연사 : Prof. Michael Fu Robert H.
School of Business University of Maryland
3. 일시 : 2000년 6월 19일 (월요일) 오후 4:00 - 5:00
4. 장소 : 301동 1409-1호
5. 내용 :
Monte Carlo simulation is a technique that is in widespread use throughout the financial industry, especially on Wall Street.In this talk, we will address the application of simulation to the problem of pricing financial derivatives that allow early exercise opportunities. Up until 1993, it was commonly accepted in the finance community that simulation could not be applied to these American-style options. However, this belief has been all but refuted by a flurry of activity since then that has produced a number of simulation-based algorithms. We will briefly review the literature, and then present our approaches, which are based on converting the stochastic dynamic programming problem into a parametric optimization problem by characterizing the early exercise boundary. Stochastic approximation techniques are then applied to obtain a simulation-based algorithm. The related gradient estimation problem is addressed in this talk, and work in progress will also be described.
6. 연사 약력 :
Professor Michael Fu received his SB and SM in electrical engineering from MIT in 1985, and his PhD in Applied Mathematics from Harvard University in 1989. His research interests are in simulation modeling and analysis, stochastic derivative estimation, and discrete-event systems, with applications to finance, telecommunications, and manufacturing. He received 1999 IIE Operations Research Division Award.
7. 문의처 : 기계항공공학부 박종우 교수 (880-7133)
2. 연사 : Prof. Michael Fu Robert H.
School of Business University of Maryland
3. 일시 : 2000년 6월 19일 (월요일) 오후 4:00 - 5:00
4. 장소 : 301동 1409-1호
5. 내용 :
Monte Carlo simulation is a technique that is in widespread use throughout the financial industry, especially on Wall Street.In this talk, we will address the application of simulation to the problem of pricing financial derivatives that allow early exercise opportunities. Up until 1993, it was commonly accepted in the finance community that simulation could not be applied to these American-style options. However, this belief has been all but refuted by a flurry of activity since then that has produced a number of simulation-based algorithms. We will briefly review the literature, and then present our approaches, which are based on converting the stochastic dynamic programming problem into a parametric optimization problem by characterizing the early exercise boundary. Stochastic approximation techniques are then applied to obtain a simulation-based algorithm. The related gradient estimation problem is addressed in this talk, and work in progress will also be described.
6. 연사 약력 :
Professor Michael Fu received his SB and SM in electrical engineering from MIT in 1985, and his PhD in Applied Mathematics from Harvard University in 1989. His research interests are in simulation modeling and analysis, stochastic derivative estimation, and discrete-event systems, with applications to finance, telecommunications, and manufacturing. He received 1999 IIE Operations Research Division Award.
7. 문의처 : 기계항공공학부 박종우 교수 (880-7133)
