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On improving the least squares Monte Carlo option valuation method

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Author Info
Nelson Areal ()
Artur Rodrigues ()
Manuel Armada ()
Abstract

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File URL: http://hdl.handle.net/10.1007/s11147-008-9026-x
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Publisher Info
Article provided by Springer in its journal Review of Derivatives Research.

Volume (Year): 11 (2008)
Issue (Month): 1 (March)
Pages: 119-151
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:kap:revdev:v:11:y:2008:i:1:p:119-151

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Web page: http://www.springerlink.com/link.asp?id=102989

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords: American options; Real options; Simulation; Quasi Monte Carlo methods; D81; G13; G31;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Boyle, Phelim & Broadie, Mark & Glasserman, Paul, 1997. "Monte Carlo methods for security pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1267-1321, June. [Downloadable!] (restricted)
  2. Philip Protter & Emmanuelle Clément & Damien Lamberton, 2002. "An analysis of a least squares regression method for American option pricing," Finance and Stochastics, Springer, vol. 6(4), pages 449-471. [Downloadable!] (restricted)
  3. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September. [Downloadable!] (restricted)
  4. Boyle, Phelim P., 1977. "Options: A Monte Carlo approach," Journal of Financial Economics, Elsevier, vol. 4(3), pages 323-338, May. [Downloadable!] (restricted)
  5. Broadie, Mark & Glasserman, Paul, 1997. "Pricing American-style securities using simulation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1323-1352, June. [Downloadable!] (restricted)
  6. Manuel Moreno & Javier R. Navas, 2001. "On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives," Economics Working Papers 543, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
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  7. Spassimir H. Paskov & Joseph F. Traub, 1995. "Faster Valuation of Financial Derivatives," Working Papers 95-03-034, Santa Fe Institute.
  8. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June. [Downloadable!] (restricted)
  9. Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-63, July.
    Other versions:
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This page was last updated on 2009-12-10.

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