On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives

From MaRDI portal
Publication:1421715

DOI10.1023/A:1027340210935zbMath1059.91047MaRDI QIDQ1421715

D. Massart

Publication date: 3 February 2004

Published in: Review of Derivatives Research (Search for Journal in Brave)




Related Items (23)

The valuation of multidimensional American real options using the LSM simulation methodA least-squares Monte Carlo approach to the estimation of enterprise riskAmerican Option Pricing Using Simulation and Regression: Numerical Convergence ResultsA Comparison Between Different Numerical Schemes for the Valuation of Unit-Linked Contracts Embedding a Surrender OptionValuation of R&D Investment Opportunities Using the Least-Squares Monte Carlo MethodAn approximate dynamic programming approach to decision making in the presence of uncertainty for surfactant-polymer floodingOn the stability the least squares Monte CarloAn improved least squares Monte Carlo valuation method based on heteroscedasticityPrimal–dual quasi-Monte Carlo simulation with dimension reduction for pricing American optionsFair dynamic valuation of insurance liabilities: a loss averse convex hedging approachRegression-based algorithms for life insurance contracts with surrender guaranteesComparison of low discrepancy mesh methods for pricing Bermudan options under a Lévy processAn irregular grid approach for pricing high-dimensional American optionsAmerican option pricing under stochastic volatility: an efficient numerical approachFair dynamic valuation of insurance liabilities: merging actuarial judgement with market- and time-consistencyFair dynamic valuation of insurance liabilities via convex hedgingA quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processesPricing life insurance contracts with early exercise featuresValuing portfolios of interdependent real options using influence diagrams and simulation-and-regression: a multi-stage stochastic integer programming approachAn efficient implementation of a least squares Monte Carlo method for valuing American-style optionsOn improving the least squares Monte Carlo option valuation methodGeneric improvements to least squares Monte Carlo methods with applications to optimal stopping problemsRefining the least squares Monte Carlo method by imposing structure




This page was built for publication: On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives