Simple improvement method for upper bound of American option

DOI10.1080/17442508.2010.518706MaRDI QIDQ3108374zbMATH OpenOpenAlexFDO

Authors Mika Fujii, Koichi Matsumoto, Kengo Tsubota

Publication date 3 January 2012

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2010.518706

zbMATH Keywords

American optionMonte Carlo simulationoptimal stopping

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Probabilistic models, generic numerical methods in probability and statistics (65C20) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options
• Additive and multiplicative duals for American option pricing
• Improved lower and upper bound algorithms for pricing American options by simulation
• Iterative construction of the optimal Bermudan stopping time
• Monte Carlo valuation of American options
• Pricing American Options: A Duality Approach
• Valuing American options by simulation: a simple least-squares approach

Cited in

(3)

• Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
• Martingales and upper bounds for American-style options
• Improved lower and upper bound algorithms for pricing American options by simulation

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