Abstract
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.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 411-414 |
| Number of pages | 4 |
| Journal | Operations Research Letters |
| Volume | 37 |
| Issue number | 6 |
| DOIs | |
| State | Published - Nov 2009 |
| Externally published | Yes |
Keywords
- Monte Carlo simulation
- Pricing American option
- Stochastic mesh method
Fingerprint
Dive into the research topics of 'Revisit of stochastic mesh method for pricing American options'. Together they form a unique fingerprint.Cite this
- APA
- Standard
- Harvard
- Vancouver
- Author
- BIBTEX
- RIS