Valuing American options by simulation: a BSDEs approach

DOI10.1016/J.MATCOM.2015.11.009OpenAlexW2200863298WikidataQ108524134 ScholiaQ108524134MaRDI QIDQ2228772FDOQ2228772

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

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zbMATH Keywords

American optionbackward stochastic differential equationnumerical approximationobstacle problem

Mathematics Subject Classification ID

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

Cites Work

• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• The early exercise premium representation for American options on multiply assets
• On backward stochastic differential equations approach to valuation of American options
• Probability with Martingales
• Variational inequalities and the pricing of American options
• Donsker-type theorem for BSDEs
• Convergence of solutions of discrete reflected backward SDE's and simulations
• Title not available (Why is that?)
• Title not available (Why is that?)
• Discrete approximations of reflected backward stochastic differential equations with random terminal time
• A semilinear Black and Scholes partial differential equation for valuing American options: approximate solutions and convergence
• Title not available (Why is that?)

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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