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
External document linkhttps://hal.archives-ouvertes.fr/hal-00486825
Book titleNumerical Methods in Finance
Book authorOudjane, Nadia
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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.
Subjects / KeywordsAmerican options; Monte-carlo methods
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