TY - JOUR
T1 - Revisit of stochastic mesh method for pricing American options
AU - Liu, Guangwu
AU - Hong, L. Jeff
PY - 2009/11
Y1 - 2009/11
N2 - From an importance sampling viewpoint, Broadie and Glasserman [M. Broadie, P. Glasserman, A stochastic mesh method for pricing high-dimensional American options, Journal of Computational Finance 7 (4) (2004) 35-72] proposed a stochastic mesh method to price American options. In this paper, we revisit the method from a conditioning viewpoint, and derive some new weights.
AB - From an importance sampling viewpoint, Broadie and Glasserman [M. Broadie, P. Glasserman, A stochastic mesh method for pricing high-dimensional American options, Journal of Computational Finance 7 (4) (2004) 35-72] proposed a stochastic mesh method to price American options. In this paper, we revisit the method from a conditioning viewpoint, and derive some new weights.
KW - Monte Carlo simulation
KW - Pricing American option
KW - Stochastic mesh method
UR - http://www.scopus.com/inward/record.url?scp=70349832886&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=70349832886&partnerID=8YFLogxK
U2 - 10.1016/j.orl.2009.06.001
DO - 10.1016/j.orl.2009.06.001
M3 - Article
AN - SCOPUS:70349832886
SN - 0167-6377
VL - 37
SP - 411
EP - 414
JO - Operations Research Letters
JF - Operations Research Letters
IS - 6
ER -