Policy iteration for american options: overview
نویسندگان
چکیده
This paper is an overview of recent results by Kolodko and Schoenmakers (2006), Bender and Schoenmakers (2006) on the evaluation of options with early exercise opportunities via policy improvement. Stability is discussed and simulation results based on plain Monte Carlo estimators for conditional expectations are presented.
منابع مشابه
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ورودعنوان ژورنال:
- Monte Carlo Meth. and Appl.
دوره 12 شماره
صفحات -
تاریخ انتشار 2006