• Title of article

    An improved simulation method for pricing high-dimensional American derivatives Original Research Article

  • Author/Authors

    Phelim P. Boyle، نويسنده , , Adam W. Kolkiewicz، نويسنده , , Ken Seng Tan، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2003
  • Pages
    8
  • From page
    315
  • To page
    322
  • Abstract
    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.
  • Keywords
    Quasi-Monte Carlo , American options , Monte Carlo , Dynamic programming
  • Journal title
    Mathematics and Computers in Simulation
  • Serial Year
    2003
  • Journal title
    Mathematics and Computers in Simulation
  • Record number

    854016