Function-approximation-based importance sampling for pricing american options

Proceedings - Winter Simulation Conference

Volumn 1, Issue , 2004, Pages 604-611

  Bolia, Nomesh ^a   Juneja, Sandeep ^a   Glasserman, Paul ^b  

^a TATA INSTITUTE OF FUNDAMENTAL RESEARCH   (India)

^b The Sanford C Bernstein Co Center for Leadership and Ethics   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

FUNCTION APPROXIMATION; OPTION PRICE; UPPER BOUNDS; ZERO-VARIANCE MEASURE;

APPROXIMATION THEORY; COMPUTER SIMULATION; ESTIMATION; FUNCTIONS; MONTE CARLO METHODS; PROBLEM SOLVING;

FINANCE;

EID: 17744374522     PISSN: 08917736     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (11)

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6. Haugh, M. B. and L. Kogan. 2004. Pricing American Options: A Duality Approach. Operations Research 52-2, 258-270.
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11. Tsitsiklis, J., and B. Van Roy. 2001. Regression Methods for Pricing Complex American-Style Options. IEEE Transactions on Neural Networks 12, 694-703.