Problems in financial engineering: convergence of the stochastic mesh estimator for pricing American options

Abstract

Broadie and Glasserman proposed a simulation-based method they named <i>stochastic mesh</i> for pricing high dimensional 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… (More)

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