Multilevel dual approach for pricing American style derivatives
نویسندگان
چکیده
منابع مشابه
Multilevel dual approach for pricing American style derivatives
In this article we propose a novel approach to reduce the computational complexity of the dual method for pricing American options. We consider a sequence of martingales that converges to a given target martingale and decompose the original dual representation into a sum of representations that correspond to different levels of approximation to the target martingale. By next replacing in each r...
متن کاملAddendum to: Multilevel dual approach for pricing American style derivatives
In this article we propose a novel approach to reduce the computational complexity of the dual method for pricing American options. We consider a sequence of martingales that converges to a given target martingale and decompose the original dual representation into a sum of representations that correspond to different levels of approximation to the target martingale. By next replacing in each r...
متن کاملPricing American-Style Derivatives with European Call Options1
We present a new approach to pricing American-style derivatives that is applicable to any Markovian setting (i.e., not limited to geometric Brownian motion) for which European call option prices are readily available. By approximating the value function with an appropriately chosen interpolation function, the pricing of an American-style derivative with arbitrary payoff function is converted to...
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W present a new approach to pricing American-style derivatives that is applicable to any Markovian setting (i.e., not limited to geometric Brownian motion) for which European call-option prices are readily available. By approximating the value function with an appropriately chosen interpolation function, the pricing of an American-style derivative with arbitrary payoff function is converted to ...
متن کاملPricing American-style securities using simulation
We develop a simulation algorithm for estimating the prices of American-style securities, i.e., securities with opportunities for early exercise. Our algorithm provides both point estimates and error bounds for the true security price. It generates two estimates, one biased high and one biased low, both asymptotically unbiased and converging to the true price. Combining the two estimators yield...
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ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 2013
ISSN: 0949-2984,1432-1122
DOI: 10.1007/s00780-013-0208-5