Pricing American Options: A Comparison of Monte Carlo Simulation Approaches ⁄

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Monte Carlo valuation of American options (2002, unknown): “A benchmark example in this subject appears to be the Bermudan n-max-call, studied in Broadie and Glasserman (1997b), and used as a test example by Haugh and Kogan (2001), Fu et al. (2001) , and Andersen and Broadie (2001).”
Monte Carlo and Quasi-Monte Carlo Sampling (2009, methodology): “For a while, it was thought that American options could not be priced using the Monte Carlo method [182], but since then, several techniques based on Monte Carlo have been proposed, for instance in [50, 125, 276, 45, 153, 351, 436].”
Variance-Gamma and Monte Carlo (2007, background): “Of course, Dilip’s main research interests do not lie in simulation, but he is a regular consumer of the method, and as a result, we collaborated on two papers in the area, on control variates for pricing continuous arithmetic Asian options [12] and on pricing American-style options [11].”
A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options (2007, background): “Also, the article [ 20 ] compares several Monte Carlo approaches empirically.”