AMERICAN OPTION PRICING BY CONDITIONAL MONTE CARLO

Derivatives pricing such as American options,European ,Asian ,barrier and path dependent options with simulation methods need to have more calibration and low discrepncy with real market.In this paper we develope a new model for pricing American option by conditional Monte Carlo Method. Moreover, the convergence rate of this option based on huristic method of random arithmatic sequence a control variate of claim undelying asset dynamic is presented. We used geomtric brownian motion dynamic for underlying asset and heston dynamic for volatility of underlying asset.then used cotrol variate based on primium discount and snell push for optimal and variance reduction of errors