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Finance and Stochastics

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01-07-2015

Addendum to: Multilevel dual approach for pricing American style derivatives

Authors: Denis Belomestny, Mark Joshi, John Schoenmakers

Published in: Finance and Stochastics | Issue 3/2015

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Abstract

In this note, we show how the dual approach in its particular form presented in Andersen and Broadie (Manag. Sci. 50:1222–1234, 2004) can be fitted into the framework of the recent work (Belomestny et al., Finance Stoch. 17:717–742, 2013).

previous article Taylor approximation of incomplete Radner equilibrium models

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Andersen, L., Broadie, M.: A primal–dual simulation algorithm for pricing multidimensional American options. Manag. Sci. 50, 1222–1234 (2004) CrossRef

Belomestny, D., Schoenmakers, J., Dickmann, F.: Multilevel dual approach for pricing American style derivatives. Finance Stoch. 17, 717–742 (2013) MathSciNetCrossRef

Haugh, M., Kogan, L.: Pricing American options: a duality approach. Oper. Res. 52, 258–270 (2004) MathSciNetCrossRefMATH

Rogers, L.C.G.: Monte Carlo valuation of American options. Math. Finance 12, 271–286 (2002) MathSciNetCrossRef

Title: Addendum to: Multilevel dual approach for pricing American style derivatives
Authors: Denis Belomestny
Mark Joshi
John Schoenmakers
Publication date: 01-07-2015
Publisher: Springer Berlin Heidelberg
Published in: Finance and Stochastics / Issue 3/2015
Print ISSN: 0949-2984
Electronic ISSN: 1432-1122
DOI: https://doi.org/10.1007/s00780-015-0267-x

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