Efficiency improvements for pricing American options with a stochastic mesh

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Efficiency improvements for pricing American options with a stochastic mesh

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Winter Simulation Conference archive
Proceedings of the 31st conference on Winter simulation: Simulation---a bridge to the future - Volume 1 table of contents

Phoenix, Arizona, United States

Pages: 344 - 350

Year of Publication: 1999

ISBN:0-7803-5780-9

Authors

Athanassios N. Avramidis	School of Operations Research and Industrial Engineering, Cornell University, Ithaca, NY
Paul Hyden	School of Operations Research and Industrial Engineering, Cornell University, Ithaca, NY

Sponsors

ACM: Association for Computing Machinery
SIGSIM: ACM Special Interest Group on Simulation and Modeling

Publisher

ACM New York, NY, USA

Bibliometrics

Downloads (6 Weeks): 4, Downloads (12 Months): 17, Citation Count: 7

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REFERENCES

Note: OCR errors may be found in this Reference List extracted from the full text article. ACM has opted to expose the complete List rather than only correct and linked references.

	1	Avramidis, A., and P. Hyden. 1999. Efficient Simulation Techniques for Pricing American Options. Unpublished manuscript.
	2	Broadie, M., and P. Glasserman. 1997a. A stochastic mesh method for Pricing High-Dimensional American Options. Unpublished manuscript.
	3	Broadie, M., and P. Glasserman. 1997b. Pricing American-style securities using simulation Journal of Economic Dynamics and Control, 21: (8-9) 1323-1352.
	4	Glasserman. P., P. Heidelberger, and P. Shahabuddin. 1999. Asymptotically optimal importance sampling and strati-fication for pricing path-dependent options. Mathemat-ical Finance 9: (2) 117-152.
	5	Tilley, J.A. 1993. Valuing American Options in a Path Sim-ulation Model. Transactions of the Society of Actuaries 45: 83-104.

CITED BY 7

	John M. Charnes, Options pricing: using simulation for option pricing, Proceedings of the 32nd conference on Winter simulation, December 10-13, 2000, Orlando, Florida
	Jeremy Staum, Simulation in financial engineering: simulation in financial engineering, Proceedings of the 34th conference on Winter simulation: exploring new frontiers, December 08-11, 2002, San Diego, California
	Jeremy Staum, Option pricing: simulation in financial engineering, Proceedings of the 33nd conference on Winter simulation, December 09-12, 2001, Arlington, Virginia
	Christiane Lemieux, Randomized Quasi-Monte Carlo: a tool for improving the efficiency of simulations in finance, Proceedings of the 36th conference on Winter simulation, December 05-08, 2004, Washington, D.C.
	Christiane Lemieux , Jennie La, A study of variance reduction techniques for American option pricing, Proceedings of the 37th conference on Winter simulation, December 04-07, 2005, Orlando, Florida
	Justin W. L. Wan , Kevin Lai , Adam W. Kolkiewicz , Ken Seng Tan, A parallel quasi-Monte Carlo approach to pricing multidimensional American options, International Journal of High Performance Computing and Networking, v.4 n.5/6, p.321-330, May 2006
	Guangwu Liu , L. Jeff Hong, Revisit of stochastic mesh method for pricing American options, Proceedings of the 40th Conference on Winter Simulation, December 07-10, 2008, Miami, Florida