An adaptive Monte Carlo algorithm for European and American options

DOI10.22034/CMDE.2021.37369.1654MaRDI QIDQ5076663zbMATH OpenOpenAlexFDO

Authors Mahboubeh Aalaei, Mahnaz Manteqipour

Publication date 17 May 2022

Full work available at URL https://cmde.tabrizu.ac.ir/article_12765_45d1d353217537cf5bd01eae8e7ec7eb.pdf

zbMATH Keywords

adaptive Monte Carlo algorithmBlack-Scholes modelEuropean and American put optionfinite difference method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Iterative numerical methods for linear systems (65F10) Finite difference methods for boundary value problems involving PDEs (65N06) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A fast high-order finite difference algorithm for pricing American options
• A smooth estimator for MC/QMC methods in finance
• Adaptive Monte Carlo methods for matrix equations with applications
• Combined probabilistic algorithm for solving high dimensional problems
• European and American put valuation via a high-order semi-discretization scheme
• scientific article; zbMATH DE number 3841285 (Why is no real title available?)
• scientific article; zbMATH DE number 3194184 (Why is no real title available?)
• Iterative solution of large sparse systems of equations
• Sequential Monte Carlo methods for option pricing

Cited in

(2)

• New adaptive Monte Carlo algorithm for parallel solution of large linear systems with applications
• A generalized adaptive Monte Carlo algorithm based on a two-step iterative method for linear systems and its application to option pricing

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