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 …
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 …
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 …
Grid Bundling Method (SGBM) for pricing multi-dimensional Bermudan (ie discretely …
Duality theory and approximate dynamic programming for pricing American options and portfolio optimization
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 …
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 …
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 …
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 …
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
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 …
sensitivities. The problem can be reformulated as how to perform sensitivity analysis for a …
Recursive lower and dual upper bounds for Bermudan-style options
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 …
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 …
style options using flexible simulation methods combined with initially dispersed state …