Pricing American Options using Monte Carlo Method

This thesis reviewed a number of Monte Carlo based methods for pricing American options. The least-squares regression based Longstaff-Schwartz method (LSM) for approximating lower bounds of option values and the Duality approach through martingales for estimating the upper bounds of option values we...

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Bibliographic Details
Main Author: Wu, Z
Format: Thesis
Published: University of Oxford;Mathematical Institute 2012