Policy iteration for american options: overview

Bender Christian, Kolodko Anastasia and Schoenmakers John
Additional contact information
Bender Christian: 1. Technical University Braunschweig, 38092 Braunschweig, Germany
Kolodko Anastasia: 2. Weierstrass Institute for Applied Analysis and Stochastics, Mohrenstr. 39, 10117 Berlin, Germany
Schoenmakers John: 2. Weierstrass Institute for Applied Analysis and Stochastics, Mohrenstr. 39, 10117 Berlin, Germany

Monte Carlo Methods and Applications, 2006, vol. 12, issue 5, 347-362

Abstract: This paper is an overview of recent results by Kolodko and Schoenmakers (2006), Bender and Schoenmakers (2006) on the evaluation of options with early exercise opportunities via policy improvement. Stability is discussed and simulation results based on plain Monte Carlo estimators for conditional expectations are presented.

Date: 2006
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DOI: 10.1515/156939606779329053

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