Pricing American-Style Options by Monte Carlo Simulation ...
Pricing American-Style Options by Monte Carlo Simulation ...
Pricing American-Style Options by Monte Carlo Simulation ...
Create successful ePaper yourself
Turn your PDF publications into a flip-book with our unique Google optimized e-Paper software.
Table VIII: Overall Performance ComparisonCase OLS Quantile Tikhonov MPP MMPP CARTPanel A. Polynomial basisCase 1 – o + + + – – – – + + + o + + + o + + + – – + oCase 2 – o + + o – – – o + + + + + + + o + + + – – + –Case 3 + + + + + + + + + + o – + o – – + + – o + o – –Case 4 o + + + + – – – + + + + + + o – + + + + – – + –Case 5 (n = 2, K = 80) – – o + – + – – – o + o o – – – – o o o – – – –Case 5 (n = 2, K = 100) – o + + + o – – – o + + + – – – + + + + o – – –Case 5 (n = 2, K = 110) – – o + + – – – o – o o + o – – + + + + + + – –Case 5 (n = 3, K = 80) – – o o – o + o o – – – o – – – o o o o + – – –Case 5 (n = 3, K = 100) – – o o o + o – – – – – o – – – + + o – + – – –Case 5 (n = 3, K = 110) – – o + + + – – o – – – – – – – + + o o + – – –Case 5 (n = 5, K = 80) – – – o – – o + o – – – o – – – – + o o – – – –Case 5 (n = 5, K = 100) – – o o – o + + – – – – o – – – o + + o – – – –Case 5 (n = 5, K = 110) – – o o + + + o o – – – – – – – + + + o + – – –Case 5 (n = 10, K = 80) – – o o o – o o o – – – o – – – o + + + – – – –Case 5 (n = 10, K = 100) – – o o – – o o – – – – – – – – o + + o – – – –Case 5 (n = 10, K = 110) o o – o + + + + – – – – – – – – o + + + o – – –Panel B. Polynomial and European price basisCase 1 – – o + – – – – – + + + – + + + – + + + – – + –Case 2 – o + + o – – – o + + + + + + + + + + + – – + +Case 3 + + + + + + + + + + + + + + + + + + + + o – – –Case 4 – o + + – + – – + + + + + + + + + + + + – – + –Case 5 (n = 2, K = 80) – – o – – – – – – + + + – + + + – o + + o – – –Case 5 (n = 2, K = 100) – – – o – o – – – + + + o + + + – + + + + – – –Case 5 (n = 2, K = 110) – – – + – – o + + + + + o + + + – –Notes: “+” , “o” , and “–”, respectively represent good, neutral, and poor performance. The four columns for eachmethod correspond to the results with different numbers of simulation paths (100, 1,000, 5,000, and 10,000 simulationpaths respectively from left to the right). For case 5, n is the number of underlying assets and K is the strike price.Some cells have missing values because of not enough in-the-money paths for the specification.
Change language