Efficiency improvements for pricing American options with a stochastic mesh

@inproceedings{Avramidis1999EfficiencyIF,
  title={Efficiency improvements for pricing American options with a stochastic mesh},
  author={Athanassios N. Avramidis and Paul Hyden},
  booktitle={Winter Simulation Conference},
  year={1999}
}
We develop and study general-purpose techniques for i proving the efficiency of the stochastic mesh method th was recently developed for pricing American options v Monte Carlo simulation. First, we develop a mesh-base biased-low estimator. By recursively averaging the low an high estimators at each stage, we obtain a significantly mo accurate point estimator at each of the mesh points. Seco we adapt the importance sampling ideas for simulation European path-dependent options in Glasserman, Heid… CONTINUE READING
Highly Cited
This paper has 41 citations. REVIEW CITATIONS

Citations

Publications citing this paper.

References

Publications referenced by this paper.

Efficient Simulatio Techniques for Pricing American Options

  • A. Avramidis, P. Hyden.
  • Unpublish manuscript.
  • 1999
Highly Influential
3 Excerpts

Similar Papers

Loading similar papers…