Memory-Reduction Method for Pricing American-Style Options under Exponential Lévy Processes

DOI10.4208/eajam.020310.120410azbMath1284.91568OpenAlexW2121545207MaRDI QIDQ5406881

Tao Wu, Raymond Honfu Chan

Publication date: 4 April 2014

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/eajam.020310.120410a

zbMATH Keywords

Monte Carlo simulationAmerican optionsmemory reductionexponential Lévy processes

Mathematics Subject Classification ID

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

Related Items (3)

Backward simulation methods for pricing American options under the CIR process ⋮ Fast Greeks by simulation: the block adjoint method with memory reduction ⋮ The forward-path method for pricing multi-asset American-style options under general diffusion processes

Uses Software

• Mathematica

Cites Work

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• The Pricing of Options and Corporate Liabilities
• A Jump-Diffusion Model for Option Pricing
• Pricing multi-asset American-style options by memory reduction Monte Carlo methods
• Processes of normal inverse Gaussian type
• A memory reduction method in pricing American options
• Financial Modelling with Jump Processes
• The Variance Gamma Process and Option Pricing
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Option pricing when underlying stock returns are discontinuous

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