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Centre de Recherche en Économie et Statistique |  |
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Centre de Recherche en Économie et Statistique | |
| HAL: hal-00486825, version 1 |
| DOI: 10.1007/978-3-642-25746-9 |
| Detailed view |  Export this paper |
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| Springer Proceedings in Mathematics 12 (2012) 215-255 |
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| Monte-Carlo valorisation of American options: facts and new algorithms to improve existing methods |
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| Bruno Bouchard 1, 2Xavier Warin 3 |
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| (2012-05-02) |
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| 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. |
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| 1: | CEntre de REcherches en MAthématiques de la DEcision (CEREMADE) |
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CNRS : UMR7534 – Université Paris IX - Paris Dauphine |
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| 2: | Centre de Recherche en Économie et Statistique (CREST) |
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INSEE – École Nationale de la Statistique et de l'Administration Économique |
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| 3: | EDF R&D |
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EDF |
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| Subject | : | Mathematics/Probability |
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| American options – Monte-carlo methods |
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| hal-00486825, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00486825 | |
| oai:hal.archives-ouvertes.fr:hal-00486825 | |
| From: Bruno Bouchard | |
| Submitted on: Monday, 31 May 2010 08:59:37 | |
| Updated on: Thursday, 24 May 2012 09:24:43 | |
