MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES

DOI10.1142/S0219024906003652zbMath1184.91209MaRDI QIDQ5483499

Denis Belomestny, Grigori N. Milstein

Publication date: 14 August 2006

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

zbMATH Keywords

Monte Carlo simulation; variance reduction; lower and upper bounds; American and Bermudan options

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Sensitivities for Bermudan options by regression methods, An efficient control variate method for pricing variance derivatives, Regression methods in pricing American and Bermudan options using consumption processes

Cites Work

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