An improved simulation method for pricing high-dimensional American derivatives

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.

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Year of publication:	2003
Authors:	Boyle, Phelim P. ; Kolkiewicz, Adam W. ; Tan, Ken Seng
Published in:	Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 62.2003, 3, p. 315-322
Publisher:	Elsevier
Subject:	American options \| Monte Carlo \| Quasi-Monte Carlo \| Dynamic programming

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010748767