{"product_id":"hedging-pricing-of-options-using-least-squares-through-simulation-von-ravindra-chitlangi","title":"Hedging \u0026 Pricing of Options using least squares through simulation","description":"\u003cp\u003eThe enormous growth of derivatives markets  necessitates the pricing and hedging of derivative  contracts accurately and efficiently. This work  extends the pricing approach introduced by Longstaff  and Schwartz to a stochastic volatility model, namely  the Heston Model. The method employed is also used to  compute the Option Greeks extending the approach of  the paper Hedging using simulation: a least squares  approach by Tebaldi. A number of options are  considered ranging from plain vanilla to exotics such  as Power put and Binary (Asset-or-Nothing) put  options in the Black-Scholes model. Finally the  methodology is applied to the Heston Model wherein a  plain vanilla European call is priced and hedged and  the plain vanilla American put option is priced. The  price as well as Option Greeks are compared against  well-known procedures used in the industry today.  Researchers as well as academicians concerned with  hedging of derivative contracts would find this work  useful.\u003c\/p\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783844333411\"\u003e\u003ch3\u003eApplication to the Black-Scholes and the Heston Models\u003c\/h3\u003e\u003c\/div\u003e","brand":"Autorenwelt Shop","offers":[{"title":"Softcover - 9783844333411","offer_id":39495957643357,"sku":"9783844333411","price":49.0,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/35c5e944-30b6-436d-a740-be8feb7da622.jpg?v=1758779134","url":"https:\/\/shop.autorenwelt.de\/en\/products\/hedging-pricing-of-options-using-least-squares-through-simulation-von-ravindra-chitlangi","provider":"Autorenwelt Shop","version":"1.0","type":"link"}