MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES
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Publication:5483499
DOI10.1142/S0219024906003652zbMATH Open1184.91209OpenAlexW1963667022MaRDI QIDQ5483499FDOQ5483499
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
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Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Cites Work
- A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
- Monte Carlo methods for security pricing
- An analysis of a least squares regression method for American option pricing
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- Transition density estimation for stochastic differential equations via forward-reverse represen\-ta\-tions
- Title not available (Why is that?)
- Monte Carlo valuation of American options
- Valuation of the early-exercise price for options using simulations and nonparametric regression
- Robust Libor Modelling and Pricing of Derivative Products
- Pricing American-style securities using simulation
- Iterative construction of the optimal Bermudan stopping time
- A NEW MONTE CARLO METHOD FOR AMERICAN OPTIONS
- Monte Carlo construction of hedging strategies against multi-asset European claims
- Title not available (Why is that?)
Cited In (11)
- Primal–dual quasi-Monte Carlo simulation with dimension reduction for pricing American options
- 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
- Title not available (Why is that?)
- THE EARLY EXERCISE PREMIUM IN AMERICAN OPTIONS BY USING NONPARAMETRIC REGRESSIONS
- Simulation Based Option Pricing
- Sensitivities for Bermudan options by regression methods
- Regression-Based Complexity Reduction of the Nested Monte Carlo Methods
- A NEW MONTE CARLO METHOD FOR AMERICAN OPTIONS
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