Quasi-Monte Carlo simulation for American option sensitivities

DOI10.1016/j.cam.2022.114268zbMath1489.91310MaRDI QIDQ2146323

Xiaoqun Wang, Jiangming Xiang

Publication date: 16 June 2022

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2022.114268

zbMATH Keywords

dimension reduction; quasi-Monte Carlo; American option greeks

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

60G40: Stopping times; optimal stopping problems; gambling theory

91G20: Derivative securities (option pricing, hedging, etc.)

65D30: Numerical integration

Uses Software

• Lattice Builder