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 language | English (US) |
|---|---|
| Pages (from-to) | 1656-1659 |
| Number of pages | 4 |
| Journal | Proceedings - Winter Simulation Conference |
| Volume | 2 |
| State | Published - 2004 |
| Event | Proceedings of the 2004 Winter Simulation Conference - Washington, DC, United States Duration: Dec 5 2004 → Dec 8 2004 |
ASJC Scopus subject areas
- Software
- Modeling and Simulation
- Computer Science Applications