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1
Introduction
2
Hedging
3
Greeks
4
Review
5
State of the literature
6
General setup
7
State variables
8
Regression
9
Theorem
10
Results
11
Method
12
Comparison
13
Does it work
14
Comparing European and American options
Description:
Explore a comprehensive lecture on simulated Greeks for American options presented by Dr. Lars Stentoft from Western University. Delve into the intricacies of hedging, Greeks, and the current state of literature in this field. Examine the general setup, state variables, and regression techniques used in option pricing. Analyze the theorem and results presented, comparing methodologies and their effectiveness. Gain insights into the differences between European and American options through this in-depth 50-minute seminar, part of the 2021-2022 Quantitative Finance Seminar series at the Fields Institute.

Simulated Greeks for American Options

Fields Institute
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