Additive and multiplicative duals for American option pricing
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Publication:2463707
DOI10.1007/s00780-006-0031-3zbMath1146.91022OpenAlexW2017001821MaRDI QIDQ2463707
Publication date: 16 December 2007
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-006-0031-3
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Optimal stopping in statistics (62L15) Multiplicative functionals and Markov processes (60J57)
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Cites Work
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- Pricing American-style securities using simulation
- Iterative construction of the optimal Bermudan stopping time
- Pricing American Options: A Duality Approach
- Numerical Optimization
- Monte Carlo valuation of American options
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- Probability
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