On the simulation of the American option pricing process

MaRDI QIDQ3562693zbMATH OpenFDO

Authors

Publication date 27 May 2010

zbMATH Keywords

American optionfinancial marketoptimal stoppingrational price

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Stopping times; optimal stopping problems; gambling theory (60G40) Portfolio theory (91G10) Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80)

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Cited in

(13)

• A two-step simulation procedure to analyze the exercise features of American options
• A master equation approach to option pricing
• An improved simulation method for pricing high-dimensional American derivatives.
• Valuing American options by simulation: a BSDEs approach
• American Option Pricing Using Simulation and Regression: Numerical Convergence Results
• Improved lower and upper bound algorithms for pricing American options by simulation
• scientific article; zbMATH DE number 1222808 (Why is no real title available?)
• scientific article; zbMATH DE number 1487902 (Why is no real title available?)
• Backward simulation methods for pricing American options under the CIR process
• Calculation of the cost of one American-type option
• Mathematical models for the pricing of American call options
• A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI‐INFINITE LINEAR PROGRAMMING
• Simulated Greeks for American options

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