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

DOI10.1007/978-3-540-71992-2_107MaRDI QIDQ3618166zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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

Recommendations

• Correcting the Bias in Monte Carlo Estimators of American-style Option Values
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• Convergence and biases of Monte Carlo estimates of American option prices using a parametric exercise rule
• scientific article; zbMATH DE number 1969587
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• 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

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(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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