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Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods

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Date
2012
Link to item file
https://hal.archives-ouvertes.fr/hal-00486825
Dewey
Probabilités et mathématiques appliquées
Sujet
American options; Monte-carlo methods
JEL code
C15; G12
DOI
http://dx.doi.org/10.1007/978-3-642-25746-9_7
Book title
Numerical Methods in Finance
Author
Oudjane, Nadia
Publisher
Springer
Publisher city
Berlin Heidelberg
Year
2012
ISBN
978-3-642-25745-2
Book URL
10.1007/978-3-642-25746-9
URI
https://basepub.dauphine.fr/handle/123456789/4273
Collections
  • CEREMADE : Publications
Metadata
Show full item record
Author
Bouchard, Bruno
Warin, Xavier
Type
Chapitre d'ouvrage
Item number of pages
215-255
Abstract (EN)
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 technics can be exploded with improved complexity and efficiency. We also discuss several technics for the estimation of the corresponding hedging strategies. Numerical tests and comparisons, including the quantization approach, are performed.

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