ZHENG Chengli, HAN Liyan. Simulating Pricing for American Put Options Based on Partial Least Square Method[J]. Chinese Journal of Applied Probability and Statistics, 2004, 20(3): 295-300.
Citation:
ZHENG Chengli, HAN Liyan. Simulating Pricing for American Put Options Based on Partial Least Square Method[J]. Chinese Journal of Applied Probability and Statistics, 2004, 20(3): 295-300.
ZHENG Chengli, HAN Liyan. Simulating Pricing for American Put Options Based on Partial Least Square Method[J]. Chinese Journal of Applied Probability and Statistics, 2004, 20(3): 295-300.
Citation:
ZHENG Chengli, HAN Liyan. Simulating Pricing for American Put Options Based on Partial Least Square Method[J]. Chinese Journal of Applied Probability and Statistics, 2004, 20(3): 295-300.
Simulating Pricing for American Put Options Based on Partial Least Square Method
The paper presents a general theoretic frame based on the theory of optimal timing. Upon which, the simulating algorithm for American put options is introduced with the tool of partial least square polynomial. Finally, an American put option is priced in a numeric simulating case, with no dividend involved.
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