Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity

DOI10.1007/978-3-642-25746-9_4zbMath1247.91197OpenAlexW3124085890MaRDI QIDQ2917427

Sylvain Rubenthaler, Bruno Rémillard, Pierre Del Moral

Publication date: 28 September 2012

Published in: Springer Proceedings in Mathematics (Search for Journal in Brave)

Full work available at URL: https://hal.univ-cotedazur.fr/hal-00755423/file/convex200101030.pdf

zbMATH Keywords

simulationdynamic programmingAmerican optionSnell envelopeexercise regionBermudan option

Mathematics Subject Classification ID

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

Related Items (5)

American-style options in jump-diffusion models: estimation and evaluation ⋮ An Introduction to Particle Methods with Financial Applications ⋮ Optimal Hedging of American Options in Discrete Time ⋮ Optimal hedging in discrete time ⋮ Pricing bounds and bang-bang analysis of the Polaris variable annuities

Cites Work

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• Variance-Optimal Hedging in Discrete Time
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• A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
• LATTICE OPTION PRICING BY MULTIDIMENSIONAL INTERPOLATION
• American option pricing under GARCH by a Markov chain approximation

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