岭南学术论坛－金融学系列Seminar
讲座题目：American Option Sensitivities Estimation via a GeneralizedIPA Approach
讲座嘉宾：刘彦初（Yanchu LIU, The Chinese University of Hong Kong）
时 间：2014年1月15日（周三），上午10:30-12:00
地 点：岭南堂汪道涵会议室
报告语言：英文
摘要：
In this paper, we develop efficient Monte Carlo methods for estimating American optionsensitivities. The problem can be re-formulated as how to perform sensitivity analysisfor a stochastic optimization problem with model uncertainty. We introduce a generalizedinfinitesimal perturbation analysis (IPA) approach to resolve the difficulty caused bydiscontinuity of the optimal decision with respect to the underlying parameter. The IPAestimators are unbiased if the optimal decisions are explicitly known. To quantify theestimation bias caused by untractable exercising policies in the case of pricing Americanoptions, we also provide an approximation guarantee which relates the sensitivity under theoptimal exercise policy to that computed under a suboptimal policy. The price-sensitivityestimators yielded from this approach demonstrate significant advantages numerically inboth high-dimensional environments and various process settings. We can easily embedthem into many of the most popular pricing algorithms without extra simulation effort toobtain sensitivities as a by-product of the option price. Our generalized approach also castsnew insights on how to perform sensitivity analysis using IPA: we do not need pathwisecontinuity to apply it.
主讲嘉宾简介：/UploadFiles/xsbg/2014/1/201401061010568914.pdf
论文下载：/UploadFiles/xsbg/2014/1/201401061011129245.pdf
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