Assessing the Least Squares Monte-Carlo Approach to American Option Valuation

Convergence of the Least Squares Monte Carlo Approach to American Option Valuation

Management Science ◽

10.1287/mnsc.1030.0155 ◽

2004 ◽

Vol 50 (9) ◽

pp. 1193-1203 ◽

Cited By ~ 103

Author(s):

Lars Stentoft

Keyword(s):

Monte Carlo ◽

Least Squares ◽

American Option ◽

Option Valuation ◽

Monte Carlo Approach ◽

Optimum Weighting for the Least Squares Monte Carlo Approach to American Options Under the CEV Model

SSRN Electronic Journal ◽

10.2139/ssrn.2635238 ◽

2015 ◽

Author(s):

Jason Barden ◽

Karl Jenkins

Keyword(s):

Monte Carlo ◽

Least Squares ◽

American Options ◽

Cev Model ◽

Monte Carlo Approach ◽

American option pricing on reconfigurable hardware using Least-Squares Monte Carlo method

2009 International Conference on Field-Programmable Technology ◽

10.1109/fpt.2009.5377662 ◽

2009 ◽

Cited By ~ 15

Author(s):

Xiang Tian ◽

Khaled Benkrid

Keyword(s):

Monte Carlo ◽

Monte Carlo Method ◽

Option Pricing ◽

Least Squares ◽

Reconfigurable Hardware ◽

American Option ◽

American Option Pricing ◽

Inside the Solvency 2 Black Box: Net Asset Values and Solvency Capital Requirements with a least-squares Monte-Carlo approach

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2016.07.005 ◽

2016 ◽

Vol 71 ◽

pp. 15-26 ◽

Cited By ~ 5

Author(s):

Anthony Floryszczak ◽

Olivier Le Courtois ◽

Mohamed Majri

Keyword(s):

Monte Carlo ◽

Least Squares ◽

Capital Requirements ◽

Black Box ◽

Monte Carlo Approach ◽

Asset Values ◽

Solvency Capital

Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing

Finance and Stochastics ◽

10.1007/s00780-013-0204-9 ◽

2013 ◽

Vol 17 (3) ◽

pp. 503-534 ◽

Cited By ~ 23

Author(s):

Daniel Z. Zanger

Keyword(s):

Monte Carlo ◽

Option Pricing ◽

Least Squares ◽

Error Estimates ◽

American Option ◽

Monte Carlo Algorithm ◽

American Option Pricing ◽

Project valuation in the pharmaceutical industry: a comparison of least-squares Monte Carlo real option valuation and conventional approaches

R and D Management ◽

10.1111/j.1467-9310.2008.00530.x ◽

2008 ◽

Vol 38 (5) ◽

pp. 520-537 ◽

Cited By ~ 17

Author(s):

Bart J. A. Willigers ◽

Thomas L. Hansen

Keyword(s):

Monte Carlo ◽

Pharmaceutical Industry ◽

Least Squares ◽

Real Option ◽

Option Valuation ◽

Project Valuation ◽

Real Option Valuation

CONVERGENCE OF A LEAST-SQUARES MONTE CARLO ALGORITHM FOR AMERICAN OPTION PRICING WITH DEPENDENT SAMPLE DATA

Mathematical Finance ◽

10.1111/mafi.12125 ◽

2016 ◽

Vol 28 (1) ◽

pp. 447-479 ◽

Cited By ~ 12

Author(s):

Daniel Z. Zanger

Keyword(s):

Monte Carlo ◽

Option Pricing ◽

Least Squares ◽

American Option ◽

Monte Carlo Algorithm ◽

American Option Pricing ◽

Sample Data ◽

Dependent Sample

On Improving the Least Squares Monte Carlo Option Valuation Method

SSRN Electronic Journal ◽

10.2139/ssrn.1089490 ◽

2008 ◽

Author(s):

Nelson Manuel de Pinho Branddo da Costa Areal ◽

Artur Rodrigues ◽

Manuel Joss Rocha Armada

Keyword(s):

Monte Carlo ◽

Least Squares ◽

Option Valuation ◽

Valuation Method

On improving the least squares Monte Carlo option valuation method

Review of Derivatives Research ◽

10.1007/s11147-008-9026-x ◽

2008 ◽

Vol 11 (1-2) ◽

pp. 119-151 ◽

Cited By ~ 31

Author(s):

Nelson Areal ◽

Artur Rodrigues ◽

Manuel R. Armada

Keyword(s):

Monte Carlo ◽

Least Squares ◽

Option Valuation ◽

Valuation Method

Inside the Solvency 2 Black Box: Net Asset Values and Solvency Capital Requirements with a Least-Squares Monte-Carlo Approach

SSRN Electronic Journal ◽

10.2139/ssrn.2537408 ◽

2014 ◽

Author(s):

Anthony Floryszczak ◽

Olivier Le Courtois ◽

Mohamed Majri

Keyword(s):

Monte Carlo ◽

Least Squares ◽

Capital Requirements ◽

Black Box ◽

Monte Carlo Approach ◽

Asset Values ◽

Solvency Capital