Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods
Bouchard, Bruno; Warin, Xavier (2012), Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods, in Oudjane, Nadia, Numerical Methods in Finance, Springer : Berlin Heidelberg, p. 215-255. 10.1007/978-3-642-25746-9_7
Type
Chapitre d'ouvrageExternal document link
https://hal.archives-ouvertes.fr/hal-00486825Date
2012Book title
Numerical Methods in FinanceBook author
Oudjane, NadiaPublisher
Springer
Published in
Berlin Heidelberg
ISBN
978-3-642-25745-2
Pages
215-255
Publication identifier
Metadata
Show full item recordAbstract (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.Subjects / Keywords
American options; Monte-carlo methodsRelated items
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