Gangan 31
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$Magic Empire Global(MEGL.US$This is a real casino.Everyone wants to make a profit here.
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Gangan 31
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$Cepton(CPTN.US$ Yesterday it was less than 3, all positions were closed, now is there a chance to buy and fly high 🙁
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Gangan 31
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This section is a knowledge point that even children studying financial engineering and options futures cannot escape, but my teacher said that maturing rights valuation is all over the place. Much of the content was understood by going to Google [laughing R]
This section includes:
⚠️ Monte Carlo simulated valuation of European options
⚠️ American option least squares Monte Carlo valuation
The least squares Monte comes from Longstaff & Schwarz's paper. The difficult point of American option pricing is the exercise problem at each point in time, and it is necessary to compare the current strike value (e_T) with the current strike value (e_T) and margin value (H_t).
To estimate the CV, the LS duo proposed a least squares regression. First, follow the normal Monte Carlo simulation of several target asset price paths, calculate payoff at the end of the period, and then backtrack backwards from the beginning of the period, calculate the predicted value of the previous time point, compare it with that node's strike value, take the larger value as the node option price, and continuously backtrack and compare until the initial node.
Understanding the LSM algorithm is still difficult. Big friends and children who don't understand can send me private messages in the background. I'll share with you a few articles that will help you understand this point~ [Party R] [Party R]
This section includes:
⚠️ Monte Carlo simulated valuation of European options
⚠️ American option least squares Monte Carlo valuation
The least squares Monte comes from Longstaff & Schwarz's paper. The difficult point of American option pricing is the exercise problem at each point in time, and it is necessary to compare the current strike value (e_T) with the current strike value (e_T) and margin value (H_t).
To estimate the CV, the LS duo proposed a least squares regression. First, follow the normal Monte Carlo simulation of several target asset price paths, calculate payoff at the end of the period, and then backtrack backwards from the beginning of the period, calculate the predicted value of the previous time point, compare it with that node's strike value, take the larger value as the node option price, and continuously backtrack and compare until the initial node.
Understanding the LSM algorithm is still difficult. Big friends and children who don't understand can send me private messages in the background. I'll share with you a few articles that will help you understand this point~ [Party R] [Party R]
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Gangan 31
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United as We Grow Stronger ~ Majulah Singapura 💖 Moojulah Sunny Island
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Gangan 31 : Seeing your face isn't just about wanting to exchange investments, can I get to know you?