Foresight Bias and Suboptimality Correction in Monte—Carlo Pricing of Options with Early Exercise

DOI10.1007/978-3-540-71992-2_107zbMATH Open1308.91186OpenAlexW41225688MaRDI QIDQ3618166FDOQ3618166

Authors: Christian Fries 

Publication date: 31 March 2009

Published in: Progress in Industrial Mathematics at ECMI 2006 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-71992-2_107

Recommendations

• Correcting the Bias in Monte Carlo Estimators of American-style Option Values
• Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes
• Convergence and biases of Monte Carlo estimates of American option prices using a parametric exercise rule
• scientific article; zbMATH DE number 1969587
• Bias reduction for pricing American options by least-squares Monte Carlo
• Correction: Sequential Monte Carlo pricing of American-style options under stochastic volatility models
• ON THE ERROR IN THE MONTE CARLO PRICING OF SOME FAMILIAR EUROPEAN PATH-DEPENDENT OPTIONS
• A backward Monte Carlo approach to exotic option pricing
• Valuation of the early-exercise price for options using simulations and nonparametric regression

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Cited In (2)

• Pricing bounds for volatility derivatives via duality and least squares Monte Carlo
• LEAST SQUARES MONTE CARLO CREDIT VALUE ADJUSTMENT WITH SMALL AND UNIDIRECTIONAL BIAS

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