Simple improvement method for upper bound of American option

DOI10.1080/17442508.2010.518706zbMath1229.91307OpenAlexW2026340970MaRDI QIDQ3108374

Kengo Tsubota, Mika Fujii, Koichi Matsumoto

Publication date: 3 January 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2010.518706

zbMATH Keywords

optimal stoppingMonte Carlo simulationAmerican option

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (1)

Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies

Cites Work

• Additive and multiplicative duals for American option pricing
• Iterative construction of the optimal Bermudan stopping time
• Improved lower and upper bound algorithms for pricing American options by simulation
• Pricing American Options: A Duality Approach
• Monte Carlo valuation of American options
• A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options
• Valuing American Options by Simulation: A Simple Least-Squares Approach

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