Smart Monte Carlo, Path Integrals, and American Options

In two previous papers we introduced Smart Monte Carlo SMC, more accurate and faster than traditional MC. Here we apply SMC to American Monte Carlo AMC. The main tool is the Feynman-Wiener path integral with a useful binning procedure. We also suggest Prony interpolating functions with regression advantages. We present American put option results. We obtain a smaller price error and a smoother optimal exercise boundary than with standard methods. We comment on multidimensional SMC

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Year of publication:	2016
Authors:	Dash, Jan
Other Persons:	Yang, Xipei (contributor)
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Optionspreistheorie \| Option pricing theory \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Optionsgeschäft \| Option trading

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