Monte Carlo methods for american options

Russel E. Caflisch, Suneal Chaudhary

Research output: Contribution to journalConference article

Abstract

We review the basic properties of American options and the difficulties of applying Monte Carlo valuation to American options. Recent progress on the Least Squares Monte Carlo (LSM) method is described, including the use of quasi-random sequences in LSM. A particle approach to evaluation of American options is formulated. Conclusions and prospects for future research are discussed.

Original languageEnglish (US)
Pages (from-to)1656-1659
Number of pages4
JournalProceedings - Winter Simulation Conference
Volume2
StatePublished - 2004
EventProceedings of the 2004 Winter Simulation Conference - Washington, DC, United States
Duration: Dec 5 2004Dec 8 2004

ASJC Scopus subject areas

  • Software
  • Modeling and Simulation
  • Computer Science Applications

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    Caflisch, R. E., & Chaudhary, S. (2004). Monte Carlo methods for american options. Proceedings - Winter Simulation Conference, 2, 1656-1659.