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Moreover, as a simulation based valuation, LSM method can price path-dependent stochastic processes and multiple underlying assets, which are also modeled in this study.
The Monte Carlo method is very popular and robust numerical method, since it is not only easily extended to multiple underlying assets but also is stochastic and amenable to coding.
This study presents a revised linear programming model for option portfolios with multiple underlying assets, and extends the model by incorporating it with a fuzzy goal programming method for considering minimum transaction lots.
Similar(51)
"It comes from the underlying assets that are illiquid".
Holders of the tracking stock share in the earnings of Hughes without owning the underlying assets.
Neither party actually needs to hold the underlying assets, as long as the payments are made.
Derivatives are financial contracts whose value is based on underlying assets.
These products added to the cash crunch, because they often matured before the underlying assets did.
One attraction, he points out, is that derivatives are typically more liquid than their underlying assets.
By shorting C.D.O.'s, Goldman also distorted the pricing of the underlying assets.
A currency represents a claim on a country's underlying assets.
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