Bias Reduction for Pricing American Options by Least-Squares Monte Carlo

DOI10.1080/1350486X.2011.608566zbMath1372.91118MaRDI QIDQ5363198

Kin Hung Kan (Felix), R. Mark Reesor

Publication date: 5 October 2017

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

zbMATH Keywords

bias reductionoptimal stoppingleast-squares Monte CarloAmerican-option pricing

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)

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Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal

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