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Monte Carlo valuation of American Options

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  • David Lamper
  • Sam Howison

Abstract

We discuss the Monte-Carlo valuation of American options, using a technique due to Rogers which furnishes an upper bound. The method is illustrated and possible improvements to its accuracy are considered.

Suggested Citation

  • David Lamper & Sam Howison, 2003. "Monte Carlo valuation of American Options," OFRC Working Papers Series 2003mf01, Oxford Financial Research Centre.
    • Handle: RePEc:sbs:wpsefe:2003mf01
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    File URL: http://www.finance.ox.ac.uk/file_links/finecon_papers/2003mf01.pdf
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    Cited by:

    1. Aihua Zhang & Christian-Oliver Ewald, 2010. "Optimal investment for a pension fund under inflation risk," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 71(2), pages 353-369, April.

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