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Monte Carlo valuation of American options

✍ Scribed by L. C. G. Rogers

Book ID
108550506
Publisher
John Wiley and Sons
Year
2002
Tongue
English
Weight
147 KB
Volume
12
Category
Article
ISSN
0960-1627

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πŸ“œ SIMILAR VOLUMES

Pricing American options by canonical le
Pricing American options by canonical least-squares Monte Carlo
✍ Qiang Liu πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 118 KB

## 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

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