Revisit of stochastic mesh method for pricing American options

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

6 Scopus Citations
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Detail(s)

Original languageEnglish
Pages (from-to)411-414
Journal / PublicationOperations Research Letters
Volume37
Issue number6
Publication statusPublished - Nov 2009

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