An improved simulation method for pricing high-dimensional American derivatives.

DOI10.1016/S0378-4754(02)00248-3zbMath1036.91020OpenAlexW2010451189MaRDI QIDQ1873029

Ken Seng Tan, Phelim P. Boyle, Adam W. Kolkiewicz

Publication date: 19 May 2003

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-4754(02)00248-3

zbMATH Keywords

dynamic programmingMonte CarloAmerican optionsquasi-Monte Carlo

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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Parallel pricing algorithms for multi-dimensional Bermudan/American options using Monte Carlo methods ⋮ An irregular grid approach for pricing high-dimensional American options ⋮ Deep optimal stopping ⋮ American option pricing under GARCH diffusion model: an empirical study

Cites Work

• Pricing American-style securities using simulation
• Pricing Bermudan options using low-discrepancy mesh methods
• Option pricing: A simplified approach
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