We introduce a new Monte Carlo method for constructing the exercise boundary of an American option in a generalized Black-Scholes framework. Based on a known exercise boundary, it is shown how to price and hedge the American option by Monte Carlo simulation of suitable probabilistic...

The aim of this paper is to show the bene fit of applying a three-dimensional Fourier cosine series expansion method in order to price and hedge multi-asset spread options. The approach consists of approximating the probability density function by its Fourier cosine series expansion in a...