Efficiency improvements for pricing American options with a stochastic mesh

  title={Efficiency improvements for pricing American options with a stochastic mesh},
  author={Athanassios N. Avramidis and Paul Hyden},
  booktitle={Winter Simulation Conference},
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
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Efficient Simulatio Techniques for Pricing American Options

  • A. Avramidis, P. Hyden.
  • Unpublish manuscript.
  • 1999
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