An efficient implementation of a least squares Monte Carlo method for valuing American-style options
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accelerationefficiencyhigh-dimensional American optionsleast squares Monte Carlo methodoptimal basis functions
Stopping times; optimal stopping problems; gambling theory (60G40) Discrete-time Markov processes on general state spaces (60J05) Monte Carlo methods (65C05) Complexity and performance of numerical algorithms (65Y20) Numerical methods (including Monte Carlo methods) (91G60) Least squares and related methods for stochastic control systems (93E24)
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- scientific article; zbMATH DE number 1790450
Cites work
- Algorithm 659
- An analysis of a least squares regression method for American option pricing
- Assessing the least squares Monte-Carlo approach to American option valuation
- scientific article; zbMATH DE number 45706 (Why is no real title available?)
- scientific article; zbMATH DE number 46153 (Why is no real title available?)
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- scientific article; zbMATH DE number 1255542 (Why is no real title available?)
- scientific article; zbMATH DE number 1033192 (Why is no real title available?)
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- scientific article; zbMATH DE number 852536 (Why is no real title available?)
- scientific article; zbMATH DE number 961607 (Why is no real title available?)
- Mersenne twister
- Monte Carlo algorithms for optimal stopping and statistical learning
- Monte Carlo valuation of American options
- On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
- Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
- Option pricing: A simplified approach
- Pricing American Options: A Duality Approach
- Pricing American-style securities using simulation
- Quadratic convergence for valuing American options using a penalty method
- Remark on algorithm 659
- Tools for computational finance.
- Valuation of the early-exercise price for options using simulations and nonparametric regression
- Valuing American options by simulation: a simple least-squares approach
Cited in
(14)- On improving the least squares Monte Carlo option valuation method
- On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
- Implicit American Monte Carlo methods for nonlinear functional of future portfolio value
- Comparison of least squares Monte Carlo methods with applications to energy real options
- The valuation of multidimensional American real options using the LSM simulation method
- On the primal-dual algorithm for callable bermudan options
- Implementing importance sampling in the least-squares Monte Carlo approach for American options
- Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity
- An efficient accelerating method of conditional Monte-Carlo simulation for two-factor option pricing model
- Effect of different basis functions on the LSM pricing of American option
- Correcting the Bias in Monte Carlo Estimators of American-style Option Values
- An Accelerating Quasi-Monte Carlo Method for Option Pricing Under the Generalized Hyperbolic Lévy Process
- Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view
- Assessing the least squares Monte-Carlo approach to American option valuation
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