Pricing multi-asset American-style options by memory reduction Monte Carlo methods

DOI10.1016/J.AMC.2005.11.108zbMath1098.91047OpenAlexW2101647530MaRDI QIDQ849756

Chi-Yan Wong, Raymond Honfu Chan, Kit Ming Yeung

Publication date: 31 October 2006

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2005.11.108

zbMATH Keywords

Monte Carlo methodrandom numberAmerican-style optionsmemory reduction methodmulti-asset

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60)

Related Items (7)

Backward simulation methods for pricing American options under the CIR process ⋮ A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions ⋮ Pricing multi-asset American option under Heston-CIR diffusion model with jumps ⋮ Fast Greeks by simulation: the block adjoint method with memory reduction ⋮ An operator splitting method for multi-asset options with the Feynman-Kac formula ⋮ Memory-Reduction Method for Pricing American-Style Options under Exponential Lévy Processes ⋮ The forward-path method for pricing multi-asset American-style options under general diffusion processes

Uses Software

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Cites Work

• Monte Carlo methods for security pricing
• Pricing American-style securities using simulation
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