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Erschienen in:
An Introduction to Particle Methods with Financial Applications Kapitel lesen Erstes Kapitel lesen

2012 | OriginalPaper | Buchkapitel

Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods

verfasst von : Bruno Bouchard, Xavier Warin

Erschienen in: Numerical Methods in Finance

Verlag: Springer Berlin Heidelberg

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Abstract

The aim of this paper is to discuss efficient algorithms for the pricing of American options by two recently proposed Monte-Carlo type methods, namely the Malliavian calculus and the regression based approaches. We explain how both techniques can be exploited with improved complexity and efficiency. We also discuss several techniques for the estimation of the corresponding hedging strategies. Numerical tests and comparisons, including the quantization approach, are performed.

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Vorheriges Kapitel Optimal Delaunay and Voronoi Quantization Schemes for Pricing American Style Options
Nächstes Kapitel Least-Squares Monte Carlo for Backward SDEs
Fußnoten
1
Hereafter, we say that a point x j dominates a point x k if x j i  > x k i for all i ≤ d.
 
2
For all the computations, we use a core i7 2,9 GHz processor.
 
3
Here and below, the number of points corresponds to the sum of the numbers of points used at each time step. There are distributed according to [4]
 
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Metadaten
Titel
Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods
verfasst von
Bruno Bouchard
Xavier Warin
Copyright-Jahr
2012
Verlag
Springer Berlin Heidelberg
Buch
Numerical Methods in Finance

Print ISBN: 978-3-642-25745-2

Electronic ISBN: 978-3-642-25746-9

Copyright-Jahr: 2012

DOI
https://doi.org/10.1007/978-3-642-25746-9_7

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