Adaptive control variates for pricing multi-dimensional American options
نویسندگان
چکیده
منابع مشابه
Adaptive Control Variates for Pricing Multi-Dimensional American Options
We explore a class of control variates for the American option pricing problem. We construct the control variates by using multivariate adaptive linear regression splines to approximate the option’s value function at each time step; the resulting approximate value functions are then combined to construct a martingale that approximates a “perfect” control variate. We demonstrate that significant...
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URL: www.thejournalofcomputationalfinance.com High-dimensional problems frequently arise in the pricing of derivative securities – for example, in pricing options on multiple underlying assets and in pricing term structure derivatives. American versions of these options, ie, where the owner has the right to exercise early, are particularly challenging to price. We introduce a stochastic mesh me...
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ژورنال
عنوان ژورنال: The Journal of Computational Finance
سال: 2007
ISSN: 1460-1559
DOI: 10.21314/jcf.2007.167