Pricing American options with weighted least-squares quasi-Monte Carlo

MaRDI QIDQ3640539zbMATH OpenFDO

Authors Haijun Yang, Yang Lei

Publication date 11 November 2009

zbMATH Keywords

quasi-Monte Carloantithetic variate methodAmerican-style options

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

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Cited in

(4)

• Primal-dual quasi-Monte Carlo simulation with dimension reduction for pricing American options
• QUASIRANDOM TREE METHOD FOR PRICING AMERICAN STYLE DERIVATIVES(Special Issue on Theory, Methodology and Applications in Financial Engneering)
• On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
• FHS-GARCH-LSM: a new method for pricing American options

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