Backward simulation methods for pricing American options under the CIR process

DOI10.1080/14697688.2017.1307513MaRDI QIDQ4555172zbMATH OpenOpenAlexFDO

Authors Wenbin Hu, Junzi Zhou

Publication date 19 November 2018

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2017.1307513

zbMATH Keywords

American optionsbackward simulationCIR processleast squares Monte Carlomemory reduction

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

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• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
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• Weak approximation of Heston model by discrete random variables

Cited in

(2)

• Forward or backward simulation? A comparative study
• The variance gamma++ process and applications to energy markets

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