A note on perturbation analysis estimators for American-style options

Probability in the Engineering and Informational Sciences

Volumn 14, Issue 3, 2000, Pages 385-392

  Fu, Michael C ^a   Wu, Rongwen ^b   Gürkan, Gül ^c   Demir, A Yonca ^d  

^a UNIVERSITY OF MARYLAND   (United States)

^b Bldg 142   (United States)

^c TILBURG UNIVERSITY   (Netherlands)

^d GENERAL ELECTRIC COMPANY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

INDUSTRIAL ENGINEERING;

ASSET PRICES; GRADIENT ESTIMATOR; PERTURBATION ANALYSIS;

ENGINEERING;

EID: 0034550915     PISSN: 02699648     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0269964800143086     Document Type: Article

References (4)

1. Fu, M.C. & Hu, J.Q. (1995). Sensitivity analysis for Monte Carlo simulation of option pricing. Probability in the Engineering and Informational Sciences 9: 417-446.
2. Fu, M.C. & Hu, J.Q. (1997). Conditional Monte Carlo: Gradient estimation and optimization applications. Boston: Kluwer Academic Publishers.
3. Gürkan, G., Özge, A., & Robinson, S. (1996). Sample-path solutions of stochastic variational inequalities, with applications to option pricing. In J.M. Charnes, D.J. Morrice, D.T. Bruner, & J.J. Swain (eds.), Proceedings of the Winter Simulation Conference, pp. 337-344.
4. Stoll, H.R. & Whaley, R.E. (1993). Futures and options: Theory and applications. Cincinnati: South-Western.