Primal-dual simulation algorithm for pricing multidimensional American options

Management Science

Volumn 50, Issue 9, 2004, Pages 1222-1234

  Andersen, Leif ^a   Broadie, Mark ^b  

^a Deutsche Banc Securities Inc   (United States)

^b Columbia University ^*  (United States)

Author keywords

American options; Bermudan options; Bermudan swaptions; Libor market model; Monte Carlo simulation; Multiple state variables; Option pricing; Real options

Indexed keywords

AMERICAN OPTIONS; BERMUDAN OPTIONS; LIBOR MARKET MODEL; OPTION PRICING;

ALGORITHMS; COMPUTATIONAL METHODS; FINITE DIFFERENCE METHOD; INVESTMENTS; MARKETING; MONTE CARLO METHODS; RANDOM PROCESSES; RISK MANAGEMENT;

MANAGEMENT SCIENCE;

EID: 4944240401     PISSN: 00251909     EISSN: None     Source Type: Journal    
DOI: 10.1287/mnsc.1040.0258     Document Type: Article

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