Asymmetric Variance Reduction for Pricing American Options

DOI10.1016/S1570-8659(08)00004-5MaRDI QIDQ3631186zbMATH OpenOpenAlexFDO

Authors Chuan-Hsiang Han, Jean-Pierre Fouque

Publication date 5 June 2009

Published in Special Volume: Mathematical Modeling and Numerical Methods in Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s1570-8659(08)00004-5

zbMATH Keywords

American optionhedging martingaleMonte Carlo method

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80)

Recommendations

• American options by Malliavin calculus and nonparametric variance and bias reduction methods
• Variance reduction techniques for pricing American options using function approximations
• Improved lower and upper bound algorithms for pricing American options by simulation
• Correcting the Bias in Monte Carlo Estimators of American-style Option Values
• Monte Carlo valuation of American options

Cited in

(4)

• American options with asymmetric information and reflected BSDE
• American options by Malliavin calculus and nonparametric variance and bias reduction methods
• American option pricing with regression: convergence analysis
• The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence

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