Application of the stochastic mesh method in pricing of American-style options
نویسنده
چکیده
In this paper we present how to perform the pricing of American-style options in practice with use of the stochastic mesh method. We show various types of the estimators. Then we indicate their properties on the examples. We determine the values of parameters which allow to implement a method efficiently. Finally, we present how to use the method on a challenging problem of pricing arithmetic average put option on multiple assets.
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