Valuing American Style Options by Least Squares Methods

Mario Cerrato and Kan Kwok Cheung
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Kan Kwok Cheung: London Metropolitan University

No 49, Money Macro and Finance (MMF) Research Group Conference 2006 from Money Macro and Finance Research Group

Abstract: We investigate the finite sample performance of some recent Monte Carlo estimators under different market scenarios. We find that the accuracy and efficiency of these estimators are remarkable, even when more exotic financial instruments are considered. Finally, we extend the Glasserman and Yu (2004b) methodology to price Asian Bermudan options and basket options

JEL-codes: G12 (search for similar items in EconPapers)
Date: 2007-02-02
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Citations: View citations in EconPapers (2)

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