Title of article :
An improved simulation method for pricing high-dimensional American derivatives Original Research Article
Author/Authors :
Phelim P. Boyle، نويسنده , , Adam W. Kolkiewicz، نويسنده , , Ken Seng Tan، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2003
Pages :
8
From page :
315
To page :
322
Abstract :
In this paper, we propose an estimator for pricing high-dimensional American-style options and show that asymptotically its upper bias converges to zero. An advantage of the proposed estimator is that when combined with low discrepancy sequences, it exhibits a superior rate of convergence. Numerical examples are conducted to demonstrate its efficiency.
Keywords :
Quasi-Monte Carlo , American options , Monte Carlo , Dynamic programming
Journal title :
Mathematics and Computers in Simulation
Serial Year :
2003
Journal title :
Mathematics and Computers in Simulation
Record number :
854016
Link To Document :
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