Revisit of stochastic mesh method for pricing American options
Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 411-414 |
| Journal / Publication | Operations Research Letters |
| Volume | 37 |
| Issue number | 6 |
| Publication status | Published - Nov 2009 |
Link(s)
Abstract
From an importance sampling viewpoint, Broadie and Glasserman [M. Broadie, P. Glasserman, A stochastic mesh method for pricing high-dimensional American options, Journal of Computational Finance 7 (4) (2004) 35-72] proposed a stochastic mesh method to price American options. In this paper, we revisit the method from a conditioning viewpoint, and derive some new weights. © 2009 Elsevier B.V. All rights reserved.
Research Area(s)
- Monte Carlo simulation, Pricing American option, Stochastic mesh method
Citation Format(s)
Revisit of stochastic mesh method for pricing American options. / Liu, Guangwu; Hong, L. Jeff.
In: Operations Research Letters, Vol. 37, No. 6, 11.2009, p. 411-414.Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
