Enhanced Tilley's bundling algorithm using memory reduction Monte Carlo method

DOI10.1007/S10092-005-0096-YMaRDI QIDQ2504795zbMATH OpenOpenAlexFDO

Authors Ka-Chun Ma, Chi-Yan Wong, Raymond H. Chan

Publication date 28 September 2006

Published in Calcolo (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10092-005-0096-y

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• A memory reduction method in pricing American options
• Pricing multi-asset American-style options by memory reduction Monte Carlo methods
• Memory-reduction method for pricing American-style options under exponential Lévy processes.
• A STATE‐SPACE PARTITIONING METHOD FOR PRICING HIGH‐DIMENSIONAL AMERICAN‐STYLE OPTIONS
• Improved lower and upper bound algorithms for pricing American options by simulation

Cited in

(1)

• A memory reduction method in pricing American options

This page was built for publication: Enhanced Tilley's bundling algorithm using memory reduction Monte Carlo method

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2504795)