A Monte Carlo simulation on pricing of high dimensional American options based on variance reduction
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Publication:3175862
DOI10.3785/J.ISSN.1008-9497.2017.05.008zbMATH Open1399.91137MaRDI QIDQ3175862FDOQ3175862
Authors: Jinbiao Chen, Rongfei Lin 
Publication date: 18 July 2018
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Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40)
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- American options by Malliavin calculus and nonparametric variance and bias reduction methods
- Pricing multi-asset American-style options by memory reduction Monte Carlo methods
- Variance reduction techniques for pricing American options using function approximations
- Numerical simulation for multi-asset derivatives pricing under Black-Scholes model
- Monte Carlo methods for pricing financial options
- Memory-reduction method for pricing American-style options under exponential Lévy processes.
- Optimal parameters for pricing of the American put options with least square Monte Carlo simulation
- A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models
- Primal-dual quasi-Monte Carlo simulation with dimension reduction for pricing American options
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- Quasi-Monte Carlo simulation for American option sensitivities
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- A memory reduction method in pricing American options
- Monte Carlo methods for pricing and hedging American options in high dimension
- A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction
- An improved simulation method for pricing high-dimensional American derivatives.
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- JDOI variance reduction method and the pricing of American-style options
- Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance
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