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An irregular grid approach for pricing high-dimensional American options

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Author Info
Berridge, S.J.
Schumacher, J.M. (Tilburg University, Center for Economic Research)

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Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 99.

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Date of creation: 2002
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Handle: RePEc:dgr:kubcen:200299

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Related research
Keywords: 35R35; 60G40; 65D15; 90C33;

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Find related papers by JEL classification:
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C61 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Optimization Techniques; Programming Models; Dynamic Analysis
C63 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Computational Techniques

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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. Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 14(1), pages 113-47.
  2. Boyle, Phelim P & Evnine, Jeremy & Gibbs, Stephen, 1989. "Numerical Evaluation of Multivariate Contingent Claims," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 2(2), pages 241-50. [Downloadable!] (restricted)
  3. 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)
  4. 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)
  5. Barraquand, J?r?me & Martineau, Didier, 1995. "Numerical Valuation of High Dimensional Multivariate American Securities," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(03), pages 383-405, September. [Downloadable!]
  6. Manuel Moreno & Javier Navas, 2003. "On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives," Review of Derivatives Research, Springer, vol. 6(2), pages 107-128, May. [Downloadable!] (restricted)
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  7. 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)
  8. Lars Stentoft, 2004. "Assessing the Least Squares Monte-Carlo Approach to American Option Valuation," Review of Derivatives Research, Springer, vol. 7(2), pages 129-168, 08. [Downloadable!]
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Cited by:
(explanations, 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. Berridge, S.J. & Schumacher, J.M., 2004. "Pricing high-dimensional Americal options using local consistency conditions," Discussion Paper 19, Tilburg University, Center for Economic Research. [Downloadable!]
  2. Berridge, S.J. & Schumacher, J.M., 2004. "Using localised quadratic functions on an irregular grid for pricing high-dimensional American options," Discussion Paper 20, Tilburg University, Center for Economic Research. [Downloadable!]
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This page was last updated on 2009-11-25.

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