DocumentCode
2169341
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
Volume
2
fYear
2004
fDate
5-8 Dec. 2004
Firstpage
1656
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Simulation Conference, 2004. Proceedings of the 2004 Winter
Print_ISBN
0-7803-8786-4
Type
conf
DOI
10.1109/WSC.2004.1371513
Filename
1371513
Link To Document