The forward-path method for pricing multi-asset American-style options under general diffusion processes

DOI10.1016/j.cam.2013.11.026zbMath1299.91168OpenAlexW2055098077MaRDI QIDQ2252387

Wenbin Hu, Sheng-Hong Li

Publication date: 17 July 2014

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2013.11.026

zbMATH Keywords

Monte Carlomemory reductionAmerican-style optionsTaylor implicit scheme

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Backward simulation methods for pricing American options under the CIR process ⋮ Fast Greeks by simulation: the block adjoint method with memory reduction ⋮ An operator splitting method for multi-asset options with the Feynman-Kac formula

Cites Work

• Pricing multi-asset American-style options by memory reduction Monte Carlo methods
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Monte Carlo methods for security pricing
• Pricing American-style securities using simulation
• Memory-Reduction Method for Pricing American-Style Options under Exponential Lévy Processes
• Implicit Taylor methods for stiff stochastic differential equations

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