Convergence of the Stochastic Mesh Estimator for Pricing American Options


Broadie and Glasserman proposed a simulation-based method they named stochastic mesh for pricing highdimensional American options. Based on simulated states of the assets underlying the option at each exercise opportunity, the method produces an estimator of the option value at each sampled state. Under the mild assumption of the finiteness of certain… (More)

4 Figures and Tables


  • Presentations referencing similar topics