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A regression-based smoothing spline Monte Carlo algorithm for pricing American

✍ Scribed by Michael Kohler

Publisher
Springer-Verlag
Year
2008
Tongue
English
Weight
491 KB
Volume
92
Category
Article
ISSN
1863-8171

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A Forward Monte Carlo Method for America
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✍ DANIEL WEI-CHUNG MIAO; YUNG-HSIN LEE πŸ“‚ Article πŸ“… 2012 πŸ› John Wiley and Sons 🌐 English βš– 728 KB

This study proposes a forward Monte Carlo method for the pricing of American options. The main advantage of this method is that it does not use backward induction as required by other methods. Instead, the proposed approach relies on a wise determination about whether a simulated stock price has ent