Bibliographic Details
| Title: |
An improved simulation method for pricing high-dimensional American derivatives |
| Authors: |
Boyle, Phelim P.1, Kolkiewicz, Adam W.2, Tan, Ken Seng2 kstan@uwaterloo.ca |
| Source: |
Mathematics & Computers in Simulation. Mar2003, Vol. 62 Issue 3-6, p315. 8p. |
| Subjects: |
Monte Carlo method, Dynamic programming |
| 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. [Copyright &y& Elsevier] |
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| Database: |
Engineering Source |
