Improved lower and upper bound algorithms for pricing American options by simulation

DOI10.1080/14697680701763086zbMATH Open1154.91430OpenAlexW1995800062MaRDI QIDQ3605244FDOQ3605244

Authors: Mark Broadie, Menghui Cao 

Publication date: 23 February 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680701763086

Recommendations

• A new algorithm of the optimal exercise boundary for pricing American options based on Simpson formula
• American Option Pricing Using Simulation and Regression: Numerical Convergence Results
• On the simulation of the American option pricing process
• Simple improvement method for upper bound of American option
• An improvement of an analytical approximation method for American options
• Valuing American options by simulation: a simple least-squares approach
• Pricing American options by simulation using a stochastic mesh with optimized weights
• Publication:4489967
• Pricing and hedging American-style options: a simple simulation-based approach

zbMATH Keywords

financial economicscomputational financefinancial derivativesfinancial engineeringimplementation of pricing derivatives

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)

Cites Work

• Monte Carlo methods for security pricing
• Valuing American options by simulation: a simple least-squares approach
• Monte Carlo valuation of American options
• Valuation of the early-exercise price for options using simulations and nonparametric regression
• Title not available (Why is that?)
• Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
• Pricing American-style securities using simulation
• Pricing American Options: A Duality Approach
• A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options

Cited In (38)

• Lower bounds for American option prices with control variates
• Relationship between least squares Monte Carlo and approximate linear programming
• Comparison of least squares Monte Carlo methods with applications to energy real options
• Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
• Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units
• Variance reduction techniques for pricing American options using function approximations
• Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems
• Deep learning for ranking response surfaces with applications to optimal stopping problems
• A lattice algorithm for pricing moving average barrier options
• Calculation of exposure profiles and sensitivities of options under the Heston and the Heston Hull-White models
• Simple improvement method for upper bound of American option
• The difference between LSMC and replicating portfolio in insurance liability modeling
• Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
• Computation of conditional expectations with guarantees
• Primal-dual quasi-Monte Carlo simulation with dimension reduction for pricing American options
• Laplace bounds approximation for American options
• Valuation of American strangles through an optimized lower-upper bound approach
• Algorithmic counterparty credit exposure for multi-asset Bermudan options
• A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds
• Simulation Based Option Pricing
• Moving average options: machine learning and Gauss-Hermite quadrature for a double non-Markovian problem
• A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options
• Deep learning for CVA computations of large portfolios of financial derivatives
• Enhanced Tilley's bundling algorithm using memory reduction Monte Carlo method
• On the primal-dual algorithm for callable bermudan options
• Explainable neural network for pricing and universal static hedging of contingent claims
• Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal
• Asymmetric Variance Reduction for Pricing American Options
• Pricing high-dimensional Bermudan options using the stochastic grid method
• Pricing Bermudan options using low-discrepancy mesh methods
• An improved simulation method for pricing high-dimensional American derivatives.
• Solving high-dimensional optimal stopping problems using deep learning
• Multilevel dual approach for pricing American style derivatives
• Recursive lower and dual upper bounds for Bermudan-style options
• Deep optimal stopping
• The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks
• A deep learning method for pricing high-dimensional American-style options via state-space partition
• Efficient willow tree method for European-style and American-style moving average barrier options pricing

This page was built for publication: Improved lower and upper bound algorithms for pricing American options by simulation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3605244)