Efficient Pricing and Model Calibration With Large Panels of Options
提出一种通过单次模拟对期权面板进行一致定价的方法，尤其适用于含提前行权特征的期权，并成功校准了时变波动率模型至超过25,000个美式期权样本。
Abstract We introduce a consistent method for pricing panels of options through time with a single simulation. The approach is particularly useful for pricing options with early exercise features and allows calibrating flexible option pricing models to large panels of such options. We showcase this by calibrating option pricing models with time-varying volatility and asymmetric features to a sample of more than 25,000 American-style options. Our method leverages the homogeneity of option prices, relies only on polynomial approximations using simulated paths, and could be applied to other problems that require estimating optimal stopping times using dynamic programming.