An efficient implementation of a least squares Monte Carlo method for valuing American-style options
DOI10.1080/00207160802647357zbMATH Open1163.91406OpenAlexW1969082924MaRDI QIDQ3636738FDOQ3636738
Authors: Christian Jonen 
Publication date: 29 June 2009
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160802647357
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- scientific article; zbMATH DE number 1790450
efficiencyaccelerationleast squares Monte Carlo methodhigh-dimensional American optionsoptimal basis functions
Monte Carlo methods (65C05) Complexity and performance of numerical algorithms (65Y20) Numerical methods (including Monte Carlo methods) (91G60) Discrete-time Markov processes on general state spaces (60J05) Stopping times; optimal stopping problems; gambling theory (60G40) Least squares and related methods for stochastic control systems (93E24)
Cites Work
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- Valuing American Options by Simulation: A Simple Least-Squares Approach
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- Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
- Pricing American-style securities using simulation
- Pricing American Options: A Duality Approach
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Cited In (13)
- Comparison of least squares Monte Carlo methods with applications to energy real options
- Correcting the Bias in Monte Carlo Estimators of American-style Option Values
- Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity
- On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
- On improving the least squares Monte Carlo option valuation method
- An Accelerating Quasi-Monte Carlo Method for Option Pricing Under the Generalized Hyperbolic Lévy Process
- Implementing importance sampling in the least-squares Monte Carlo approach for American options
- Assessing the least squares Monte-Carlo approach to American option valuation
- On the primal-dual algorithm for callable bermudan options
- An efficient accelerating method of conditional Monte-Carlo simulation for two-factor option pricing model
- Implicit American Monte Carlo methods for nonlinear functional of future portfolio value
- Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view
- The valuation of multidimensional American real options using the LSM simulation method
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