Pricing American Options : A Comparison of Monte Carlo Simulation Approaches ∗

@inproceedings{Fu1999PricingAO,
  title={Pricing American Options : A Comparison of Monte Carlo Simulation Approaches ∗},
  author={Michael C. Fu and Scott B. Laprise and Dilip B. Madan and Rongwen Wu},
  year={1999}
}
A number of Monte Carlo simulation-based approaches have been proposed within the past decade to address the problem of pricing American-style derivatives. The purpose of this paper is to empirically test some of these algorithms on a common set of problems in order to be able to assess the strengths and weaknesses of each approach as a function of the problem characteristics. In addition, we introduce another simulation-based approach that parameterizes the early exercise curve and casts the… CONTINUE READING
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