Lower bounds for American option prices with control variates

DOI10.1016/J.ORL.2023.09.008MaRDI QIDQ6556178zbMATH OpenFDO

Authors François-Michel Boire, R. Mark Reesor, Lars Stentoft

Publication date 17 June 2024

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.ORL.2023.09.008

zbMATH Keywords

American optionsbias correctionMonte Carlo simulationoptimally sampled control variates

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Cites work

• Bias reduction for pricing American options by least-squares Monte Carlo
• scientific article; zbMATH DE number 2232710 (Why is no real title available?)
• Improved lower and upper bound algorithms for pricing American options by simulation
• Monte Carlo methods for pricing financial options
• Monte Carlo methods for security pricing
• The pricing of options and corporate liabilities

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