An improved simulation method for pricing high-dimensional American derivatives.

DOI10.1016/S0378-4754(02)00248-3MaRDI QIDQ1873029zbMATH OpenOpenAlexFDO

Authors Phelim Boyle, Adam W. Kolkiewicz, Ken Seng Tan

Publication date 19 May 2003

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0378-4754(02)00248-3

zbMATH Keywords

American optionsdynamic programmingMonte Carloquasi-Monte Carlo

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• scientific article; zbMATH DE number 1158743 (Why is no real title available?)
• scientific article; zbMATH DE number 1790433 (Why is no real title available?)
• scientific article; zbMATH DE number 274379 (Why is no real title available?)
• Option pricing: A simplified approach
• Pricing American-style securities using simulation
• Pricing Bermudan options using low-discrepancy mesh methods

Cited in

(15)

• Pricing American-style securities using simulation
• Pricing American options by simulation using a stochastic mesh with optimized weights
• A Monte Carlo simulation on pricing of high dimensional American options based on variance reduction
• An efficient implementation of a least squares Monte Carlo method for valuing American-style options
• scientific article; zbMATH DE number 1790433 (Why is no real title available?)
• scientific article; zbMATH DE number 1790450 (Why is no real title available?)
• scientific article; zbMATH DE number 2087113 (Why is no real title available?)
• QUASIRANDOM TREE METHOD FOR PRICING AMERICAN STYLE DERIVATIVES(Special Issue on Theory, Methodology and Applications in Financial Engneering)
• Pricing high-dimensional American options by kernel ridge regression
• Deep optimal stopping
• Large-scale parallel simulation of high-dimensional American option pricing
• A STATE‐SPACE PARTITIONING METHOD FOR PRICING HIGH‐DIMENSIONAL AMERICAN‐STYLE OPTIONS
• Parallel pricing algorithms for multi-dimensional Bermudan/American options using Monte Carlo methods
• American option pricing under GARCH diffusion model: an empirical study
• An irregular grid approach for pricing high-dimensional American options

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