A NEW MONTE CARLO METHOD FOR AMERICAN OPTIONS

DOI10.1142/S0219024904002554zbMath1121.91367OpenAlexW2165707952MaRDI QIDQ4653042

Oliver Reiß, John G. M. Schoenmakers, Grigori N. Milstein

Publication date: 28 February 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024904002554

zbMATH Keywords

determination of the exercise boundary

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (3)

Stability of analytical and numerical solutions for nonlinear stochastic delay differential equations with jumps ⋮ An iterative method for multiple stopping: convergence and stability ⋮ MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES

Cites Work

• Unnamed Item
• Numerical solution of the Dirichlet problem for nonlinear parabolic equations by a probabilistic approach
• Monte Carlo construction of hedging strategies against multi-asset European claims
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Optimal exercise boundary for an American put option
• Expansion of the global error for numerical schemes solving stochastic differential equations

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