Revisit of stochastic mesh method for pricing American options

DOI10.1016/J.ORL.2009.06.001MaRDI QIDQ1043249zbMATH OpenOpenAlexFDO

Authors Guangwu Liu, L. Jeff Hong

Publication date 7 December 2009

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.orl.2009.06.001

zbMATH Keywords

Monte Carlo simulationpricing American optionstochastic mesh method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

Recommendations

• Pricing American options by simulation using a stochastic mesh with optimized weights
• Stochastic mesh methods for Hörmander type diffusion processes
• Stochastic mesh method for optimal stopping problems
• Numerical methods for American option pricing
• A NEW MONTE CARLO METHOD FOR AMERICAN OPTIONS

Cites work

• Efficient Monte Carlo and quasi-Monte Carlo option pricing under the variance gamma model
• scientific article; zbMATH DE number 5819433 (Why is no real title available?)
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
• Variance-gamma and Monte Carlo

Cited in

(7)

• Snell envelope with small probability criteria
• Pricing American options by simulation using a stochastic mesh with optimized weights
• An introduction to particle methods with financial applications
• A new methodology to estimate constant elasticity of variance
• Stochastic mesh methods for Hörmander type diffusion processes
• Stochastic mesh method for optimal stopping problems
• Valuing American options under the CEV model by Laplace-Carson transforms

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