Control variates for monte carlo valuation of american options
University of Aarhus - Department of Finance; University of Aarhus - School of Economics and Management. In this paper we consider the application of control variates to the Monte-Carlo valuation of American options. The main idea of the paper is to sample control variates at the exercise time of the American option rather than at expiry, which would be the case for the corresponding European option valuation.
Control Variates for Monte Carlo Valuation of American Options by Nicki S. Rasmussen :: SSRN
We show that the reduction of variance benefits the computation of both lower and upper bound estimates of the American option value. Numerical examples are given for the American versions of the single-asset put option, and for the nasa stock market predictions and control variates for monte carlo valuation of american options Asian option, as well as for the max-call option in the multi-asset Black-Scholes model.
American Options, Monte-Carlo Simulation, Control Variates, Exercise Strategy. Subscribe to this fee journal for more curated articles on this topic.
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Abstract In this paper we consider the application of control variates to the Monte-Carlo valuation of American options. University of Aarhus - School of Economics and Management Aarhus Denmark.
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Control Variates for Monte Carlo Valuation of American Options by Nicki S. Rasmussen :: SSRN
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