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Monte Carlo simulation algorithms for the pricing of American options

Abstract:
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.

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Publication date:
2008-06-05
URN:
uuid:bef4c0ee-9546-4724-80f7-5be6239c5857
Local pid:
oai:eprints.maths.ox.ac.uk:703

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