Efficient Pricing and Model Calibration With Large Panels of Options.
We introduce a consistent method for pricing panels of options through time with a single simulation. The approach is particularly useful for pricing options with early exercise features and allows calibrating flexible option pricing models to large panels of such options. We showcase this by calibr...
| Publicado en: | Journal of Financial Econometrics Vol. 23; no. 5; pp. 1 - 37 |
|---|---|
| Autores principales: | , |
| Formato: | Artículo |
| Publicado: |
Oxford University Press / USA
2025
|
| Materias: | |
| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=189368500&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 189368500 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 14798409 T2Y jtl: Journal of Financial Econometrics issn: 14798409 maglogo: N pubinfo: dt: 2025 vid: 23 iid: 5 pid: 622 pub: Oxford University Press / USA artinfo: ui: 189368500 10.1093/jjfinec/nbaf019 ppf: 1 ppct: 36 formats: tig: atl: Efficient Pricing and Model Calibration With Large Panels of Options. aug: au: Letourneau, Pascal Stentoft, Lars affil: University of Wisconsin-Whitewater University of Western Ontario su: Computer simulation Calibration Options (Finance) Time-based pricing Market volatility Dynamic programming sug: subj: Computer simulation Calibration Options (Finance) Time-based pricing Market volatility Dynamic programming keyword: American options C15 G12 G13 homogeneity least-squares Monte Carlo Markovian processes American options C15 G12 G13 homogeneity least-squares Monte Carlo Markovian processes ab: We introduce a consistent method for pricing panels of options through time with a single simulation. The approach is particularly useful for pricing options with early exercise features and allows calibrating flexible option pricing models to large panels of such options. We showcase this by calibrating option pricing models with time-varying volatility and asymmetric features to a sample of more than 25,000 American-style options. Our method leverages the homogeneity of option prices, relies only on polynomial approximations using simulated paths, and could be applied to other problems that require estimating optimal stopping times using dynamic programming. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
|---|