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Additive and multiplicative duals for American option pricing

Author

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  • Nan Chen

    ()

  • Paul Glasserman

    ()

Abstract

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Suggested Citation

  • Nan Chen & Paul Glasserman, 2007. "Additive and multiplicative duals for American option pricing," Finance and Stochastics, Springer, vol. 11(2), pages 153-179, April.
  • Handle: RePEc:spr:finsto:v:11:y:2007:i:2:p:153-179
    DOI: 10.1007/s00780-006-0031-3
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    File URL: http://hdl.handle.net/10.1007/s00780-006-0031-3
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    References listed on IDEAS

    as
    1. Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," University of California at Los Angeles, Anderson Graduate School of Management qt43n1k4jb, Anderson Graduate School of Management, UCLA.
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    Citations

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    Cited by:

    1. John Schoenmakers & Junbo Huang & Jianing Zhang, 2011. "Optimal dual martingales, their analysis and application to new algorithms for Bermudan products," Papers 1111.6038, arXiv.org, revised Feb 2012.
    2. Christopher Beveridge & Mark Joshi, 2011. "Monte Carlo Bounds for Game Options Including Convertible Bonds," Management Science, INFORMS, vol. 57(5), pages 960-974, May.
    3. repec:kap:apfinm:v:24:y:2017:i:2:d:10.1007_s10690-017-9226-1 is not listed on IDEAS
    4. Kohler Michael & Krzyzak Adam & Walk Harro, 2009. "Upper bounds for Bermudan options on Markovian data using nonparametric regression and a reduced number of nested Monte Carlo steps," Statistics & Risk Modeling, De Gruyter, vol. 26(4), pages 275-288, July.
    5. Nicholas Andrew Yap Swee Guan, 2015. "Regression and Convex Switching System Methods for Stochastic Control Problems with Applications to Multiple-Exercise Options," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 26.
    6. Helin Zhu & Fan Ye & Enlu Zhou, 2013. "Fast Estimation of True Bounds on Bermudan Option Prices under Jump-diffusion Processes," Papers 1305.4321, arXiv.org.
    7. N. Hilber & N. Reich & C. Schwab & C. Winter, 2009. "Numerical methods for Lévy processes," Finance and Stochastics, Springer, vol. 13(4), pages 471-500, September.
    8. Vijay V. Desai & Vivek F. Farias & Ciamac C. Moallemi, 2012. "Pathwise Optimization for Optimal Stopping Problems," Management Science, INFORMS, vol. 58(12), pages 2292-2308, December.
    9. John Schoenmakers, 2012. "A pure martingale dual for multiple stopping," Finance and Stochastics, Springer, vol. 16(2), pages 319-334, April.
    10. Denis Belomestny & Christian Bender & John Schoenmakers, 2009. "True Upper Bounds For Bermudan Products Via Non-Nested Monte Carlo," Mathematical Finance, Wiley Blackwell, vol. 19(1), pages 53-71.
    11. Joshi, Mark & Tang, Robert, 2014. "Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 25-45.
    12. Denis Belomestny & Stefan Hafner & Mikhail Urusov, 2016. "Regression-based complexity reduction of the dual nested Monte Carlo methods," Papers 1611.06344, arXiv.org, revised Mar 2018.
    13. Christian Bender & Christian Gaertner & Nikolaus Schweizer, 2016. "Pathwise Iteration for Backward SDEs," Papers 1605.07500, arXiv.org, revised Jun 2016.

    More about this item

    Keywords

    Optimal stopping; Monte Carlo methods; Variance reduction; 62L15; 60H35; 60J57; G11; G12; G13;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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