Monte Carlo simulation algorithms for the pricing of American options
One looks at the pricing of American options using Monte Carlo simulations. The selected theories on the low-biased and high-biased algorithms are reviewed. Numerical results from the implementations of the chosen algorithms are presented and analysed. One also investigates the effects of applying a...
Main Author: | Lin, P |
---|---|
Format: | Thesis |
Published: |
University of Oxford;Mathematics
2008
|
Similar Items
-
Quasi-Monte Carlo simulations for Longstaff Schwartz pricing of american options
by: Couffignals, E
Published: (2010) -
Monte Carlo Simulation of an American Option
by: Gikiri Thuo
Published: (2007-04-01) -
Pricing American Options using Monte Carlo Method
by: Wu, Z
Published: (2012) -
Distributed Least-Squares Monte Carlo for American Option Pricing
by: Lu Xiong, et al.
Published: (2023-08-01) -
Monte Carlo Option Pricing
by: Cecilia Maya
Published: (2004-01-01)