Corpus ID: 233025419

JDOI Variance Reduction Method and the Pricing of American-Style Options

@inproceedings{Johan2021JDOIVR,
  title={JDOI Variance Reduction Method and the Pricing of American-Style Options},
  author={Auster Johan and Mathys Ludovic and Maeder Fabio},
  year={2021}
}
The present article revisits the Diffusion Operator Integral (DOI) variance reduction technique originally proposed in [HP02] and extends its theoretical concept to the pricing of American-style options under (timehomogeneous) Lévy stochastic differential equations. The resulting Jump Diffusion Operator Integral (JDOI) method can be combined with numerous Monte Carlo based stopping-time algorithms, including the ubiquitous least-squares Monte Carlo (LSMC) algorithm of Longstaff and Schwartz (cf… Expand

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