Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity

DOI10.1007/978-3-642-25746-9_4zbMath1247.91197MaRDI QIDQ2917427

Pierre Del Moral, Bruno Rémillard, Sylvain Rubenthaler

Publication date: 28 September 2012

Published in: Springer Proceedings in Mathematics (Search for Journal in Brave)

Full work available at URL: https://hal.univ-cotedazur.fr/hal-00755423/file/convex200101030.pdf

zbMATH Keywords

simulation; dynamic programming; American option; Snell envelope; exercise region; Bermudan option

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

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

Related Items

Optimal hedging in discrete time, An Introduction to Particle Methods with Financial Applications, Optimal Hedging of American Options in Discrete Time

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