Using forward Monte-Carlo simulation for the valuation of American barrier options

DOI10.1007/s10479-017-2639-4zbMath1391.91162OpenAlexW2764000701MaRDI QIDQ1639295

Yung-Hsin Lee, Daniel Wei-Chung Miao, Jr-Yan Wang

Publication date: 12 June 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-017-2639-4

zbMATH Keywords

American barrier optionforward Monte Carlo methodpseudo critical pricesufficient indicator

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Combinatorial probability (60C05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Semi-implicit FEM for the valuation of American options under the Heston model

Cites Work

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• On improving the least squares Monte Carlo option valuation method
• Connecting discrete and continuous path-dependent options
• Monte Carlo methods for security pricing
• Pricing American-style securities using simulation
• The valuation of American barrier options using the decomposition technique
• A Continuity Correction for Discrete Barrier Options
• Empirical Martingale Simulation for Asset Prices
• CLOSED FORM VALUATION OF AMERICAN BARRIER OPTIONS
• Valuing American Options by Simulation: A Simple Least-Squares Approach

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