When valuing American options with simulations and regressions, Rasmussen (2005) demonstrated that the variance-minimizing control variate is sampled at the recorded exercise time. The present article further discusses the application of optimal control variates in the context of the...

This paper proposes a new method for pricing American options that uses importance sampling to reduce estimator bias and variance in simulation-and-regression based methods. Our suggested method uses regressions under the importance measure directly, instead of under the nominal measure as is...

Recently it was shown that the estimated American call prices obtained with regression and simulation based methods can be significantly improved on by using put-call symmetry. This paper extends these results and demonstrates that it is also possible to significantly reduce the variance of the...