Convergence and biases of Monte Carlo estimates of American option prices using a parametric exercise rule

DOI10.1016/S0165-1889(02)00086-6zbMath1178.91195OpenAlexW2060670423MaRDI QIDQ951396

Diego García

Publication date: 24 October 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(02)00086-6

zbMATH Keywords

Monte Carlo simulationAmerican optionsmultiple state variables

Mathematics Subject Classification ID

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

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