Primal–dual quasi-Monte Carlo simulation with dimension reduction for pricing American options
Author:
Affiliation:
1. Department of Mathematical Sciences, Tsinghua University, Beijing 10084, People's Republic of China
Funder
National Natural Science Foundation of China
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2020.1753884
Reference55 articles.
1. Acworth, P. Broadie, M. and Glasserman, P. , A comparison of some Monte Carlo and quasi-Monte Carlo techniques for option pricing. Monte Carlo and Quasi-Monte Carlo Methods 1996, pp. 1–18, 1998 (Springer: New York).
2. Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options
3. Efficient Monte Carlo and Quasi–Monte Carlo Option Pricing Under the Variance Gamma Model
4. Numerical Valuation of High Dimensional Multivariate American Securities
5. MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES
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