Valuing American Options in a Path Simulation Model

By James A. Tilley. 2002

333 citations recorded by the source corpus.

Subfields: Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/36e680036f48d8927c2663c4a2e724bb8e16aa8a

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In Management Science and Operations Research

Citations in the corpus

Convergence and Biases of Monte Carlo estimates of American option prices using a parametric exercise rule (2003, background): “…and Schwartz (2001) solve the problem estimating the continuation value of the American option through regression techniques.3 The papers by Tilley (1993), Barraquand and Martineau (1995), and Raymar and Zwecher (1997) incorporate different aspects of the usual backwards induction…”
Monte Carlo valuation of American options (2002, unknown): “The pricing of American options by simulation techniques is an important and difficult task, as witnessed by the contributions of Tilley (1993), Barraquand and Martineau (1995), Carriere (1996) Broadie and Glasserman (1997a) (1997b), Broadie, Glasserman and Jain (1997), Raymar and Zwecher (1997),…”
Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004, unknown): “But it was not until much later that the possibility of using Monte Carlo simulation for pricing American-style options was suggested by Bossaerts (1989) and Tilley (1993).”
Regression methods for pricing complex American-style options (2001, background): “Some involve partitioning the state space and computing one value per partition [18], [2].”
Valuing Real Capital Investments Using The Least-Squares Monte Carlo Method (2006, background): “Tilley (1993) was the first researcher to propose a modification to Monte Carlo simulation in order to make it applicable for valuing American options.”
Fair valuation of participating policies with surrender options and regime switching (2005, unknown): “However, some recent studies (see, for example, Tilley, 1993; Broadie and Glasserman, 1997) indicated that Monte Carlo simulation is a feasible way to solve the valuation problem of American-style options numerically.”
Pricing American Options: A Comparison of Monte Carlo Simulation Approaches ⁄ (2001, methodology): “The approaches considered here are the bundling method of Tilley (1993) and the sequential method of Grant, Vora, and Weeks (1996, 1997).”
On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives (2007, unknown): “Navas Department of Economics and Business Department of Finance Universitat Pompeu Fabra Instituto de Empresa Carrer Ramón Trias Fargas, 25-27 Maŕıa de Molina, 13 08005 Barcelona, Spain 28006 Madrid, Spain phone: (34-93) 5.”
MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS (2004, unknown): “The first work in this direction was Tilley (1993) and this has been followed by a number of papers (Barraquand and Martineau 1995; Broadie and Glasserman 1997a, 1997b; Tsitsiklis and Van Roy 1999; Longstaff and Schwartz 2001) using techniques for approximation of the exercise boundary.”
Pricing American Options: A Duality Approach (2018, background): “Tilley (1993) was the first to demonstrate that American options could be priced using simulation techniques.”
Option Pricing Under a Double Exponential Jump Diffusion Model (2004, background): “…geometric Brownian motion model, see, for example, Broadie and Detemple (1996), Carr (1998), Ju (1998), Geske and Johnson (1984), McMillan (1986), Tilley (1993), Tsitsiklis and van Roy (1999), Sullivan (2000), Broadie and Glasserman (1997), Carriére (1996), Longstaff and Schwartz (2001),…”