Backward simulation methods for pricing American options under the CIR process

DOI10.1080/14697688.2017.1307513zbMath1402.91892OpenAlexW2642017556MaRDI QIDQ4555172

Wenbin Hu, Junzi Zhou

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2017.1307513

zbMATH Keywords

American optionsCIR processmemory reductionleast squares Monte Carlobackward simulation

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)

Related Items (1)

Forward or backward simulation? A comparative study

Cites Work

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