Primal-dual simulation algorithm for pricing multidimensional American options

L Andersen, M Broadie - Management Science, 2004 - pubsonline.informs.org
This paper describes a practical algorithm based on Monte Carlo simulation for the pricing of
multidimensional American (ie, continuously exercisable) and Bermudan (ie, discretely …

[PDF][PDF] A stochastic mesh method for pricing high-dimensional American options

M Broadie, P Glasserman - Journal of Computational Finance, 2004 - columbia.edu
High-dimensional problems frequently arise in the pricing of derivative securities–for
example, in pricing options on multiple underlying assets and in pricing term structure …

The stochastic grid bundling method: Efficient pricing of Bermudan options and their Greeks

S Jain, CW Oosterlee - Applied Mathematics and Computation, 2015 - Elsevier
This paper describes a practical simulation-based algorithm, which we call the Stochastic
Grid Bundling Method (SGBM) for pricing multi-dimensional Bermudan (ie discretely …

Duality theory and approximate dynamic programming for pricing American options and portfolio optimization

MB Haugh, L Kogan - Handbooks in operations research and management …, 2007 - Elsevier
This chapter describes how duality and approximate dynamic programming (ADP) methods
can be used in financial engineering. It focuses on American option pricing and portfolio …

[图书][B] A practitioner's guide to pricing and hedging callable LIBOR exotics in forward LIBOR models

V Piterbarg - 2003 - janroman.dhis.org
Callable Libor exotics is a class of single-currency interest-rate contracts that are Bermuda-
style exercisable into underlying contracts consisting of fixed-rate, floating-rate and option …

Real options and merchant operations of energy and other commodities

N Secomandi, DJ Seppi - Foundations and Trends® in …, 2014 - nowpublishers.com
The value chain for energy and other commodities entails physical conversions through
refineries, power plants, storage facilities, and transportation and other capital-intensive …

Pricing and hedging American-style options: a simple simulation-based approach

Y Wang, R Caflisch - The Journal of Computational Finance (95 …, 2009 - papers.ssrn.com
This article presents a simple yet powerful simulation-based approach for approximating the
values of prices and Greeks (ie derivatives with respect to the underlying spot prices, such …

American option sensitivities estimation via a generalized infinitesimal perturbation analysis approach

N Chen, Y Liu - Operations Research, 2014 - pubsonline.informs.org
In this paper, we develop efficient Monte Carlo methods for estimating American option
sensitivities. The problem can be reformulated as how to perform sensitivity analysis for a …

Recursive lower and dual upper bounds for Bermudan-style options

A Ibánez, C Velasco - European Journal of Operational Research, 2020 - Elsevier
Although Bermudan options are routinely priced by simulation and least-squares methods
using lower and dual upper bounds, the latter are hardly optimized. In this paper, we …

Simulated Greeks for American Options

P Letourneau, L Stentoft - Quantitative Finance, 2023 - Taylor & Francis
This paper develops a method to estimate price sensitivities, so-called Greeks, for American
style options using flexible simulation methods combined with initially dispersed state …