Correcting the Bias in Monte Carlo Estimators of American-style Option Values

DOI10.1007/978-3-642-04107-5_28zbMath1182.91199OpenAlexW44725546MaRDI QIDQ3405457

Tyson Whitehead, Matt Davison, R. Mark Reesor, K. H. Felix Kan

Publication date: 15 February 2010

Published in: Monte Carlo and Quasi-Monte Carlo Methods 2008 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-04107-5_28

zbMATH Keywords

bias reductionAmerican optionleast-squares Monte Carlostochastic meshstochastic tree

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

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