Monte Carlo Valuation of Multidimensional American Options Through Grid Computing

Large-Scale Scientific Computing - Lecture Notes in Computer Science ◽

10.1007/11666806_53 ◽

2006 ◽

pp. 462-469 ◽

Cited By ~ 7

Author(s):

Ioane Muni Toke ◽

Jean-Yves Girard

Keyword(s):

Monte Carlo ◽

Grid Computing ◽

American Options

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Valuing American Options by Weighted Least-Squares Quasi-Monte Carlo

2008 4th International Conference on Wireless Communications, Networking and Mobile Computing ◽

10.1109/wicom.2008.2321 ◽

2008 ◽

Author(s):

Haijun Yang ◽

Yang Lei

Keyword(s):

Monte Carlo ◽

Least Squares ◽

Weighted Least Squares ◽

American Options ◽

Quasi Monte Carlo

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Monte Carlo Simulation for American Options

A Celebration of Mathematical Modeling ◽

10.1007/978-94-017-0427-4_1 ◽

2004 ◽

pp. 1-16 ◽

Cited By ~ 3

Author(s):

Russel E. Caflisch ◽

Suneal Chaudhary

Keyword(s):

Monte Carlo Simulation ◽

Monte Carlo ◽

American Options

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Pricing of path-dependent American options by Monte Carlo simulation

Journal of Economic Dynamics and Control ◽

10.1016/j.jedc.2006.12.003 ◽

2007 ◽

Vol 31 (11) ◽

pp. 3478-3502 ◽

Cited By ~ 6

Author(s):

Hajime Fujiwara ◽

Masaaki Kijima

Keyword(s):

Monte Carlo Simulation ◽

Monte Carlo ◽

American Options ◽

Path Dependent

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Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods

Springer Proceedings in Mathematics - Numerical Methods in Finance ◽

10.1007/978-3-642-25746-9_7 ◽

2012 ◽

pp. 215-255 ◽

Cited By ~ 28

Author(s):

Bruno Bouchard ◽

Xavier Warin

Keyword(s):

Monte Carlo ◽

American Options ◽

New Algorithms

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Monte Carlo Methods and American Options

The Mathematics of Derivatives Securities with Applications in MATLAB ◽

10.1002/9781118467398.ch7 ◽

2012 ◽

pp. 91-100

Keyword(s):

Monte Carlo ◽

Monte Carlo Methods ◽

American Options

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Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity

Springer Proceedings in Mathematics - Numerical Methods in Finance ◽

10.1007/978-3-642-25746-9_4 ◽

2012 ◽

pp. 115-143 ◽

Cited By ~ 6

Author(s):

Pierre Del Moral ◽

Bruno Rémillard ◽

Sylvain Rubenthaler

Keyword(s):

Monte Carlo ◽

American Options

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Tight bounds for American options via multilevel Monte Carlo

Proceedings Title: Proceedings of the 2012 Winter Simulation Conference (WSC) ◽

10.1109/wsc.2012.6465253 ◽

2012 ◽

Author(s):

Denis Belomestny ◽

Marcel Ladkau ◽

John Schoenmakers

Keyword(s):

Monte Carlo ◽

American Options ◽

Multilevel Monte Carlo

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Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach

Monte Carlo Methods and Applications ◽

10.1515/156939605777585944 ◽

2005 ◽

Vol 11 (2) ◽

Cited By ~ 20

Author(s):

Vlad Bally ◽

Lucia Caramellino ◽

Antonino Zanette

Keyword(s):

Monte Carlo ◽

Malliavin Calculus ◽

Monte Carlo Methods ◽

American Options

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Bias Reduction for Pricing American Options by Least-Squares Monte Carlo

Applied Mathematical Finance ◽

10.1080/1350486x.2011.608566 ◽

2012 ◽

Vol 19 (3) ◽

pp. 195-217 ◽

Cited By ~ 4

Author(s):

Kin Hung (Felix) Kan ◽

R. Mark Reesor

Keyword(s):

Monte Carlo ◽

Least Squares ◽

American Options ◽

Bias Reduction ◽

Least Squares Monte Carlo

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A Forward Monte Carlo Method for American Options Pricing

Journal of Futures Markets ◽

10.1002/fut.21549 ◽

2012 ◽

Vol 33 (4) ◽

pp. 369-395 ◽

Cited By ~ 4

Author(s):

Daniel Wei-Chung Miao ◽

Yung-Hsin Lee

Keyword(s):

Monte Carlo ◽

Monte Carlo Method ◽

American Options ◽

Options Pricing

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