An improved simulation method for pricing high-dimensional American derivatives

Phelim P. Boyle, Adam W. Kolkiewicz and Ken Seng Tan

Mathematics and Computers in Simulation (MATCOM), 2003, vol. 62, issue 3, 315-322

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: American options; Monte Carlo; Quasi-Monte Carlo; Dynamic programming (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:62:y:2003:i:3:p:315-322

DOI: 10.1016/S0378-4754(02)00248-3

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