Title :
Monte Carlo methods for American options
Author :
Caflisch, Russel E. ; Chaudhary, Suneal
Author_Institution :
Dept. of Math., Univ. of California at Los Angeles, CA, USA
Abstract :
We review the basic properties of American options and the difficulties of applying Monte Carlo valuation to American options. Recent progress on the least squares Monte Carlo (LSM) method is described, including the use of quasi-random sequences in LSM. A particle approach to evaluation of American options is formulated. Conclusions and prospects for future research are discussed.
Keywords :
Monte Carlo methods; least squares approximations; random sequences; stock markets; American options; least squares Monte Carlo method; quasi-random sequences; Cost accounting; Differential equations; Least squares methods; Mathematics; Monte Carlo methods; Optimization methods; Performance analysis; Security; Stochastic processes; Upper bound;
Conference_Titel :
Simulation Conference, 2004. Proceedings of the 2004 Winter
Print_ISBN :
0-7803-8786-4
DOI :
10.1109/WSC.2004.1371513
