A new sampling strategy willow tree method with application to path-dependent option pricing

DOI10.1080/14697688.2012.762111zbMath1281.91192OpenAlexW1976120407MaRDI QIDQ5397423

Chenxiang Qin, Zhiwu Hong, Wei Xu

Publication date: 20 February 2014

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

Full work available at URL: https://doi.org/10.1080/14697688.2012.762111

zbMATH Keywords

option pricingAmerican optionsderivatives pricingnumerical methods for option pricingapplied mathematical finance

Mathematics Subject Classification ID

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

Related Items (8)

Efficient willow tree method for European-style and American-style moving average barrier options pricing ⋮ Moving average options: machine learning and Gauss-Hermite quadrature for a double non-Markovian problem ⋮ Moment matching machine learning methods for risk management of large variable annuity portfolios ⋮ Robust willow tree method under Lévy processes ⋮ RISK-BASED CAPITAL FOR VARIABLE ANNUITY UNDER STOCHASTIC INTEREST RATE ⋮ Valuation model for Chinese convertible bonds with soft call/put provision under the hybrid willow tree ⋮ Willow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models ⋮ Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units

Cites Work

• A secant method for nonlinear least-squares minimization
• Convergence of Binomial Tree Methods for European/American Path-Dependent Options
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• A Finite-Dimensional Approximation for Pricing Moving Average Options
• Option pricing: A simplified approach

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