Monte Carlo simulation algorithms for the pricing of American options
- One looks at the pricing of American options using Monte Carlo simulations. The selected theories on the low-biased and high-biased algorithms are reviewed. Numerical results from the implementations of the chosen algorithms are presented and analysed. One also investigates the effects of applying antithetic variables to the high-biased algorithm, showing that the variance reducing technique provides great improvements to the existing algorithm.
- Publication date:
- Local pid:
- Copyright date: