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Canonical demon Monte Carlo renormalization group

✍ Scribed by M. Hasenbusch; K. Pinn; C. Wieczerkowski

Publisher: Elsevier Science
Year: 1994
Tongue: English
Weight: 287 KB
Volume: 338
Category: Article
ISSN: 0370-2693
DOI: 10.1016/0370-2693(94)91383-8

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## Abstract Options pricing and hedging under canonical valuation have recently been demonstrated to be quite effective, but unfortunately are only applicable to European options. This study proposes an approach called canonical least‐squares Monte Carlo (CLM) to price American options. CLM proceed