%0 Journal Article
%T Valuation of american interest rate options by the least-squares Monte Carlo method
%A Cescato
%A Claudia Dourado
%A Lemgruber
%A Eduardo Fac¨®
%J Pesquisa Operacional
%D 2011
%I Sociedade Brasileira de Pesquisa Operacional
%R 10.1590/S0101-74382011000300007
%X the purpose of this study is to verify the efficiency and the applicability of the least-squares monte carlo method for pricing american interest rate options. results suggest that this technique is apromising alternative to evaluate american-style interest rate options. it provides accurate option price estimates which are very close to results provided by a binomial model. besides, actual implementation can be easily adapted to accept different interest rate models.
%K american options
%K interest rate
%K monte carlo simulation.
%U http://www.scielo.br/scielo.php?script=sci_abstract&pid=S0101-74382011000300007&lng=en&nrm=iso&tlng=en