Pricing Bermudan options using low-discrepancy mesh methods

DOI10.1080/14697688.2013.776699zbMath1281.91181OpenAlexW2008373021MaRDI QIDQ5397421

Ken Seng Tan, Phelim P. Boyle, Adam W. Kolkiewicz

Publication date: 20 February 2014

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

Full work available at URL: https://doi.org/10.1080/14697688.2013.776699

zbMATH Keywords

simulationnumerical methodsoption pricingMonte Carlo methodsBlack-Scholes modelcurrency derivatives

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

An improved simulation method for pricing high-dimensional American derivatives. ⋮ Quasi-Monte Carlo simulation for American option sensitivities ⋮ Bermudan options pricing formulas in uncertain financial markets ⋮ Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes ⋮ Primal–dual quasi-Monte Carlo simulation with dimension reduction for pricing American options ⋮ Comparison of low discrepancy mesh methods for pricing Bermudan options under a Lévy process

Cites Work

• Comparison of randomization techniques for low-discrepancy sequences in finance
• Quasi-Monte Carlo methods with applications in finance
• Scrambled net variance for integrals of smooth functions
• Monte Carlo methods for security pricing
• Pricing American-style securities using simulation
• Applications of randomized low discrepancy sequences to the valuation of complex securities
• Regression methods in pricing American and Bermudan options using consumption processes
• Improved lower and upper bound algorithms for pricing American options by simulation
• Randomization of Number Theoretic Methods for Multiple Integration
• Quasi-Monte Carlo Methods in Numerical Finance
• Monte Carlo Variance of Scrambled Net Quadrature
• Path-Dependent Options: Extending the Monte Carlo Simulation Approach
• Toward real-time pricing of complex financial derivatives
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• A STATE‐SPACE PARTITIONING METHOD FOR PRICING HIGH‐DIMENSIONAL AMERICAN‐STYLE OPTIONS
• Valuation of the Reset Options Embedded in Some Equity-Linked Insurance Products

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