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Monte Carlo methods for pricing financial options

✍ Scribed by N. Bolia; S. Juneja

Book ID
110643378
Publisher
Indian Academy of Sciences
Year
2005
Tongue
English
Weight
266 KB
Volume
30
Category
Article
ISSN
0256-2499

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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

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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