Monte-Carlo valorisation of American options: facts and new algorithms to improve existing methods
نویسندگان
چکیده
The aim of this paper is to discuss efficient algorithms for the pricing of American options by two recently proposed Monte-Carlo type methods, namely the Malliavian calculus and the regression based approaches. We explain how both technics can be exploded with improved complexity and efficiency. We also discuss several technics for the estimation of the corresponding hedging strategies. Numerical tests and comparisons, including the quantization approach, are performed.
منابع مشابه
Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods
The aim of this paper is to discuss efficient algorithms for the pricing of American options by two recently proposed Monte-Carlo type methods, namely the Malliavian calculus and the regression based approaches. We explain how both techniques can be exploited with improved complexity and efficiency. We also discuss several techniques for the estimation of the corresponding hedging strategies. N...
متن کاملA New Approach for Monte Carlo Simulation of RAFT Polymerization
In this work, based on experimental observations and exact theoretical predictions, the kinetic scheme of RAFT polymerization is extended to a wider range of reactions such as irreversible intermediate radical terminations and reversible transfer reactions. The reactions which have been labeled as kinetic scheme are the more probable existing reactions as the theoretical point of view. The ...
متن کاملApplication of Monte Carlo Simulation in the Assessment of European Call Options
In this paper, the pricing of a European call option on the underlying asset is performed by using a Monte Carlo method, one of the powerful simulation methods, where the price development of the asset is simulated and value of the claim is computed in terms of an expected value. The proposed approach, applied in Monte Carlo simulation, is based on the Black-Scholes equation which generally def...
متن کاملImproved Lower and Upper Bound Algorithms for Pricing American Options by Simulation
This paper introduces new variance reduction techniques and computational improvements to Monte Carlo methods for pricing American-style options. For simulation algorithms that compute lower bounds of American option values, we apply martingale control variates and introduce the local policy enhancement, which adopts a local simulation to improve the exercise policy. For duality-based upper bou...
متن کاملEvaluating Performance of Algorithms in Lung IMRT: A Comparison of Monte Carlo, Pencil Beam, Superposition, Fast Superposition and Convolution Algorithms
Background: Inclusion of inhomogeneity corrections in intensity modulated small fields always makes conformal irradiation of lung tumor very complicated in accurate dose delivery.Objective: In the present study, the performance of five algorithms via Monte Carlo, Pencil Beam, Convolution, Fast Superposition and Superposition were evaluated in lung cancer Intensity Modulated Radiotherapy plannin...
متن کامل