MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES

DOI10.1142/S0219024906003652MaRDI QIDQ5483499zbMATH OpenOpenAlexFDO

Authors D. Belomestny, Grigori N. Milstein

Publication date 14 August 2006

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

Full work available at URL https://doi.org/10.1142/s0219024906003652

zbMATH Keywords

variance reductionMonte Carlo simulationlower and upper boundsAmerican and Bermudan options

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• scientific article; zbMATH DE number 3797647 (Why is no real title available?)
• scientific article; zbMATH DE number 973941 (Why is no real title available?)
• A NEW MONTE CARLO METHOD FOR AMERICAN OPTIONS
• A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
• An analysis of a least squares regression method for American option pricing
• Iterative construction of the optimal Bermudan stopping time
• Monte Carlo construction of hedging strategies against multi-asset European claims
• Monte Carlo methods for security pricing
• Monte Carlo valuation of American options
• Pricing American-style securities using simulation
• Robust Libor Modelling and Pricing of Derivative Products
• Transition density estimation for stochastic differential equations via forward-reverse represen\-ta\-tions
• Valuation of the early-exercise price for options using simulations and nonparametric regression
• Valuing American options by simulation: a simple least-squares approach

Cited in

(12)

• An iterative procedure for solving integral equations related to optimal stopping problems
• Monte Carlo valuation of American options
• An efficient control variate method for pricing variance derivatives
• Regression methods in pricing American and Bermudan options using consumption processes
• Regression-based complexity reduction of the nested Monte Carlo methods
• Pricing the American options: a closed-form, simple formula
• scientific article; zbMATH DE number 2121546 (Why is no real title available?)
• Primal-dual quasi-Monte Carlo simulation with dimension reduction for pricing American options
• Simulation Based Option Pricing
• Sensitivities for Bermudan options by regression methods
• The early exercise premium in American options by using nonparametric regressions
• A NEW MONTE CARLO METHOD FOR AMERICAN OPTIONS

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