MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS

DOI10.1111/j.0960-1627.2004.00205.xzbMath1169.91372OpenAlexW3125436659MaRDI QIDQ4673671

Nicolai Meinshausen, Benjamin M. Hambly

Publication date: 9 May 2005

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

Full work available at URL: https://ora.ox.ac.uk/objects/uuid:4dbf42a1-a5fa-4152-a901-ab0dd26acdef

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Martingales with discrete parameter (60G42) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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• Pricing American-style securities using simulation
• An analysis of a least squares regression method for American option pricing
• Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Interest rate models -- theory and practice

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