Improved lower and upper bound algorithms for pricing American options by simulation
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Publication:3605244
DOI10.1080/14697680701763086zbMath1154.91430OpenAlexW1995800062MaRDI QIDQ3605244
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
financial engineeringfinancial economicscomputational financefinancial derivativesimplementation of pricing derivatives
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
- Valuation of the early-exercise price for options using simulations and nonparametric regression
- Monte Carlo methods for security pricing
- Pricing American-style securities using simulation
- Pricing American Options: A Duality Approach
- Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
- 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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