A memory reduction method in pricing American options

DOI10.1080/00949650310001597876MaRDI QIDQ4673970zbMATH OpenOpenAlexFDO

Authors Yong Chen, Kit Ming Yeung, Raymond H. Chan

Publication date 9 May 2005

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949650310001597876

zbMATH Keywords

Monte Carlo methodOption pricingRandom number generator

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60)

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(5)

• Enhanced Tilley's bundling algorithm using memory reduction Monte Carlo method
• A reduced basis method for the simulation of American options
• Pricing arithmetic Asian option under a two-factor stochastic volatility model with jumps
• Memory-reduction method for pricing American-style options under exponential Lévy processes.
• Pricing multi-asset American-style options by memory reduction Monte Carlo methods

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