Primal–dual quasi-Monte Carlo simulation with dimension reduction for pricing American options

DOI10.1080/14697688.2020.1753884zbMath1454.91362OpenAlexW3026512547MaRDI QIDQ5139263

Jiangming Xiang, Xiaoqun Wang

Publication date: 7 December 2020

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

Full work available at URL: https://doi.org/10.1080/14697688.2020.1753884

zbMATH Keywords

simulationAmerican option pricingquasi-Monte Carlo methodsleast squares Monte Carloduality approach

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)

Quasi-Monte Carlo simulation for American option sensitivities

Uses Software

• Lattice Builder

Cites Work

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