This paper considers estimation of price sensitivities, so-called Greeks, for American style options using flexible simulation methods combined with initial dispersed state variables. The asymptotic properties of the estimators are studied and convergence of the method is established under mild...

This paper develops a fast and numerically efficient method for pricing options, particularly with early exercise features, with state of the art simulation and regression based methods. Assuming nothing but homogeneity of the option price, a property satisfied by most option pricing models, and...

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 variables. The asymptotic properties of the estimators are studied, and convergence of the method is established. A...