American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach

DOI10.1287/opre.2014.1273zbMath1307.91172OpenAlexW2104904937MaRDI QIDQ2935304

Yanchu Liu, Nan Chen

Publication date: 22 December 2014

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

Full work available at URL: https://doi.org/10.1287/opre.2014.1273

zbMATH Keywords

simulationdynamic programmingoptimal stoppingasset pricingfinanceAmerican optionprice sensitivities

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (12)

Quasi-Monte Carlo simulation for American option sensitivities ⋮ Stochastic derivative estimation for max-stable random fields ⋮ Derivatives-based portfolio decisions: an expected utility insight ⋮ Pricing and risk of swing contracts in natural gas markets ⋮ Optimal procurement strategies for contractual assembly systems with fluctuating procurement price ⋮ Simulated Greeks for American options ⋮ Uncertainty Quantification of Derivative Instruments ⋮ Unnamed Item ⋮ Least-squares Monte-Carlo methods for optimal stopping investment under CEV models ⋮ Applications of generalized likelihood ratio method to distribution sensitivities and steady-state simulation ⋮ CTMC integral equation method for American options under stochastic local volatility models ⋮ Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems

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