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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'ouvrage
External document link
https://hal.archives-ouvertes.fr/hal-00486825
Date
2012
Book title
Numerical Methods in Finance
Book author
Oudjane, Nadia
Publisher
Springer
Published in
Berlin Heidelberg
ISBN
978-3-642-25745-2
Pages
215-255
Publication identifier
10.1007/978-3-642-25746-9_7
Metadata
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Author(s)
Bouchard, Bruno
Warin, Xavier
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 / Keywords
American options; Monte-carlo methods
JEL
C15 - Statistical Simulation Methods: General
G12 - Asset Pricing; Trading Volume; Bond Interest Rates

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