EconPapers    
Economics at your fingertips  
 

Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view

Bruno Bouchard, Ki Chau, Arij Manai and Ahmed Sid-Ali
Additional contact information
Bruno Bouchard: CEREMADE
Ki Chau: CWI
Arij Manai: UM

Papers from arXiv.org

Abstract: We extend the viscosity solution characterization proved in [5] for call/put American option prices to the case of a general payoff function in a multi-dimensional setting: the price satisfies a semilinear re-action/diffusion type equation. Based on this, we propose two new numerical schemes inspired by the branching processes based algorithm of [8]. Our numerical experiments show that approximating the discontinu-ous driver of the associated reaction/diffusion PDE by local polynomials is not efficient, while a simple randomization procedure provides very good results.

New Economics Papers: this item is included in nep-cmp
Date: 2017-12, Revised 2018-11
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://arxiv.org/pdf/1712.07383 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1712.07383

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2018-11-16
Handle: RePEc:arx:papers:1712.07383