𝔖 Bobbio Scriptorium
✦   LIBER   ✦

A variance reduction technique for American option pricing

✍ Scribed by Nicola Moreni

Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
175 KB
Volume
338
Category
Article
ISSN
0378-4371

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Richardson extrapolation techniques for
Richardson extrapolation techniques for the pricing of American-style options
✍ Chuang-Chang Chang; San-Lin Chung; Richard C. Stapleton πŸ“‚ Article πŸ“… 2007 πŸ› John Wiley and Sons 🌐 English βš– 380 KB

## Abstract In this article, the authors reexamine the American‐style option pricing formula of R. Geske and H.E. Johnson (1984), and extend the analysis by deriving a modified formula that can overcome the possibility of nonuniform convergence (which is likely to occur for nonstandard American opt

A Forward Monte Carlo Method for America
A Forward Monte Carlo Method for American Options Pricing
✍ 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