Name
Abstract | ||
|---|---|---|
The pricing of American options on multiple assets or with path-dependent payoffs is an important but computationally challenging problem. In earlier work, we introduced simulation estimators for this problem which, though biased, are consistent and asymptotically unbiased. In this paper, we introduce enhancements to reduce bias. One enhancement exploits more easily computed European option prices; another uses bootstrapping for bias estimation. |
Year | DOI | Venue |
|---|---|---|
1995 | 10.1145/224401.224467 | Winter Simulation Conference |
Keywords | Field | DocType |
bootstrapped american option simulator,american option,bias estimation,multiple asset,european option price,earlier work,simulation estimator,computationally challenging problem,path-dependent payoff,convergence,error correction,computational modeling,bootstrapping,monte carlo methods,dynamic programming,pricing,economic indicators,security | Econometrics,Monte Carlo methods for option pricing,Bootstrapping,Simulation,Computer science,Exploit,Financial data processing,Technical report,Estimator | Conference |
ISBN | Citations | PageRank |
0-7803-3018-8 | 0 | 0.34 |
References | Authors | |
1 | 2 | |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Mark Broadie | 1 | 302 | 53.77 |
| Paul Glasserman | 2 | 496 | 95.86 |