Valuing American options by simulation: a BSDEs approach

DOI10.1016/J.MATCOM.2015.11.009MaRDI QIDQ2228772zbMATH OpenOpenAlexWikidataFDO

Authors Tomasz Klimsiak, Andrzej Rozkosz, Bartosz Ziemkiewicz

Publication date 19 February 2021

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2015.11.009

zbMATH Keywords

American optionbackward stochastic differential equationnumerical approximationobstacle problem

Mathematics Subject Classification ID

Stochastic analysis (60Hxx) Parabolic equations and parabolic systems (35Kxx)

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Cites work

• scientific article; zbMATH DE number 1069618 (Why is no real title available?)
• scientific article; zbMATH DE number 1069621 (Why is no real title available?)
• scientific article; zbMATH DE number 1069627 (Why is no real title available?)
• A semilinear Black and Scholes partial differential equation for valuing American options: approximate solutions and convergence
• Convergence of solutions of discrete reflected backward SDE's and simulations
• Discrete approximations of reflected backward stochastic differential equations with random terminal time
• Donsker-type theorem for BSDEs
• On backward stochastic differential equations approach to valuation of American options
• Probability with Martingales
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• The early exercise premium representation for American options on multiply assets
• Variational inequalities and the pricing of American options

Cited in

(9)

• A new approach for pricing discounted American options
• Simulated Greeks for American options
• Perpetual game options with a multiplied penalty
• A two-step simulation procedure to analyze the exercise features of American options
• American Option Pricing Using Simulation and Regression: Numerical Convergence Results
• American options with asymmetric information and reflected BSDE
• Backward simulation methods for pricing American options under the CIR process
• A new method of valuing American options based on Brownian models
• Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view

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