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

zbMATH Open1199.91228MaRDI QIDQ3640539FDOQ3640539

Authors: Haijun Yang, Yang Lei 

Publication date: 11 November 2009

Recommendations

• Assessing the least squares Monte-Carlo approach to American option valuation
• An analysis of a least squares regression method for American option pricing
• scientific article; zbMATH DE number 2051217
• 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)

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)

Cited In (4)

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

This page was built for publication: Pricing American options with weighted least-squares quasi-Monte Carlo

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3640539)