Monte Carlo methods for american options

Russel Caflisch, Suneal Chaudhary

Research output: Contribution to journalArticle

Abstract

We review the basic properties of American options and the difficulties of applying Monte Carlo valuation to American options. Recent progress on the Least Squares Monte Carlo (LSM) method is described, including the use of quasi-random sequences in LSM. A particle approach to evaluation of American options is formulated. Conclusions and prospects for future research are discussed.

Original languageEnglish (US)
Pages (from-to)1656-1659
Number of pages4
JournalProceedings - Winter Simulation Conference
Volume2
StatePublished - 2004

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American Options
Monte Carlo method
Monte Carlo methods
Random Sequence
Least Square Method
Valuation
Least Squares
Evaluation

ASJC Scopus subject areas

  • Software
  • Modeling and Simulation
  • Computer Science Applications

Cite this

Caflisch, R., & Chaudhary, S. (2004). Monte Carlo methods for american options. Proceedings - Winter Simulation Conference, 2, 1656-1659.

Monte Carlo methods for american options. / Caflisch, Russel; Chaudhary, Suneal.

In: Proceedings - Winter Simulation Conference, Vol. 2, 2004, p. 1656-1659.

Research output: Contribution to journalArticle

Caflisch, R & Chaudhary, S 2004, 'Monte Carlo methods for american options', Proceedings - Winter Simulation Conference, vol. 2, pp. 1656-1659.
Caflisch, Russel ; Chaudhary, Suneal. / Monte Carlo methods for american options. In: Proceedings - Winter Simulation Conference. 2004 ; Vol. 2. pp. 1656-1659.
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