MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES

DOI10.1142/S0219024906003652zbMath1184.91209OpenAlexW1963667022MaRDI QIDQ5483499

Denis Belomestny, Grigori N. Milstein

Publication date: 14 August 2006

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024906003652

zbMATH Keywords

Monte Carlo simulationvariance reductionlower and upper boundsAmerican and Bermudan options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

THE EARLY EXERCISE PREMIUM IN AMERICAN OPTIONS BY USING NONPARAMETRIC REGRESSIONS ⋮ Sensitivities for Bermudan options by regression methods ⋮ Regression-Based Complexity Reduction of the Nested Monte Carlo Methods ⋮ Primal–dual quasi-Monte Carlo simulation with dimension reduction for pricing American options ⋮ An efficient control variate method for pricing variance derivatives ⋮ An iterative procedure for solving integral equations related to optimal stopping problems ⋮ Regression methods in pricing American and Bermudan options using consumption processes

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