American Option Pricing Using Simulation and Regression: Numerical Convergence Results

DOI10.1007/978-1-4614-3433-7_5MaRDI QIDQ2920953zbMATH OpenOpenAlexFDO

Authors Lars Stentoft

Publication date 29 September 2014

Published in Topics in Numerical Methods for Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-1-4614-3433-7_5

Mathematics Subject Classification ID

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

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Cites work

• American Option Pricing Using Simulation and Regression: Numerical Convergence Results
• An analysis of a least squares regression method for American option pricing
• Assessing the least squares Monte-Carlo approach to American option valuation
• scientific article; zbMATH DE number 1241609 (Why is no real title available?)
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• scientific article; zbMATH DE number 3273551 (Why is no real title available?)
• scientific article; zbMATH DE number 3369559 (Why is no real title available?)
• Number of paths versus number of basis functions in American option pricing
• On the pricing of American options
• On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
• Pricing American-style securities using simulation
• The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence
• Valuation of the early-exercise price for options using simulations and nonparametric regression
• Valuing American options by simulation: a simple least-squares approach

Cited in

(20)

• Pricing American-style securities using simulation
• An analysis of a least squares regression method for American option pricing
• Canonical least-squares Monte Carlo valuation of American options: convergence and empirical pricing analysis
• Fair dynamic valuation of insurance liabilities via convex hedging
• Valuing American options by simulation: a BSDEs approach
• Fair dynamic valuation of insurance liabilities: merging actuarial judgement with market- and time-consistency
• American Option Pricing Using Simulation and Regression: Numerical Convergence Results
• Improved lower and upper bound algorithms for pricing American options by simulation
• scientific article; zbMATH DE number 2051217 (Why is no real title available?)
• Backward simulation methods for pricing American options under the CIR process
• A comparison between different numerical schemes for the valuation of unit-linked contracts embedding a surrender option
• A memory reduction method in pricing American options
• On the convergence of the quasi-regression method: polynomial chaos and regularity
• A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE
• Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach
• American option pricing with regression: convergence analysis
• Valuing American options by simulation: a simple least-squares approach
• The valuation of American options using regression based Monte-Carlo methods.
• A numerical analysis of American options with regime switching
• Coping with longevity via hedging: fair dynamic valuation of variable annuities

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