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

American-style optionsantithetic variate methodquasi-Monte Carlo

Mathematics Subject Classification ID

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

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)

Cited in

(4)

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