Asymmetric Variance Reduction for Pricing American Options

DOI10.1016/S1570-8659(08)00004-5zbMath1180.91286OpenAlexW1564645122MaRDI QIDQ3631186

Chuan-Hsiang Han, Jean-Pierre Fouque

Publication date: 5 June 2009

Published in: Special Volume: Mathematical Modeling and Numerical Methods in Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s1570-8659(08)00004-5

zbMATH Keywords

Monte Carlo methodAmerican optionhedging martingale

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence ⋮ AMERICAN OPTION PRICING WITH REGRESSION: CONVERGENCE ANALYSIS

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