Title
Hedging & Pricing of Options using least squares through simulation: Application to the BlackScholes and the Heston Models,Used
Delivery time: 8-12 business days (International)
The 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 (AssetorNothing) put options in the BlackScholes 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 wellknown procedures used in the industry today. Researchers as well as academicians concerned with hedging of derivative contracts would find this work useful.
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