A stochastic mesh method for pricing high-dimensional American options
By D. Hunter. 2004
297 citations recorded by the source corpus.
View Paper: https://www.semanticscholar.org/paper/cffdd9f45b00f72b606d0faa44d6231ed922c8f1
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
- Christian Bender
- Jessica Steiner
- Bin Yu
- Paul Glasserman
- Leonid Kogan
- Alfredo Ibáñez
- Martin B. Haugh
- Christiane Lemieux
Citations in the corpus
- Error Criteria for Numerical Solutions of Backward SDEs (2010, methodology): “Due to the structure of the American option pricing problem as a linear BSDE with reflection, its connection to optimal stopping problems allows to numerically calculate solutions which have a bias low by the Longstaff-Schwartz algorithm [24] and related algorithms [11, 12, 32].”
- Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004, unknown): “Such discretization errors are not accounted for in (12), nor in any previous arguments.”
- Simulation for American Options: Regression Now or Regression Later? (2004, methodology): “Broadie, Glasserman, and Ha [5] develop a method for pricing American options by simulation in which the conditional expectations in the dynamic programming recursion are approximated using weighted averages of simulated downstream option values.”
- Pricing American Options: A Duality Approach (2018, methodology): “For the technical definition of a low discrepancy sequence and a more detailed introduction to their properties and financial applications, see Boyle, Broadie and Glasserman (1997).”
- Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities (2004, background): “4 See Boyle, Broadie, and Glasserman (1997), Barraquand and Martineau (1995), Broadie and Glasserman (1997), Longstaff and Schwartz (2001), Ibáñez and Zapatero (2004), and the references therein for pricing American options by Monte Carlo methods.”
- 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).”