A Monte Carlo simulation on pricing of high dimensional American options based on variance reduction

DOI10.3785/J.ISSN.1008-9497.2017.05.008MaRDI QIDQ3175862zbMATH OpenFDO

Authors Jinbiao Chen, Rongfei Lin

Publication date 18 July 2018

zbMATH Keywords

Monte Carlo methodpricingAmerican optionsvariance reduction techniques

Mathematics Subject Classification ID

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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