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Volumn 15, Issue , 2009, Pages 169-187

Asymmetric Variance Reduction for Pricing American Options

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EID: 70350328010 PISSN: 15708659 EISSN: None Source Type: Book Series
DOI: 10.1016/S1570-8659(08)00004-5 Document Type: Chapter

Times cited : (5)

References (11)

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- Efficient analytic approximation of American option values
- Barone-Adesi G., and Whaley R.E. Efficient analytic approximation of American option values. J. Financ. XLII 2 (1987) 301-320
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- Barone-Adesi, G.¹ Whaley, R.E.²

2
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- A martingale control variate method for option pricing with stochastic volatility
- Fouque J.-P., and Han C.-H. A martingale control variate method for option pricing with stochastic volatility. ESAIM Probabil. Stat. 11 (2007) 40-54
- (2007) ESAIM Probabil. Stat. , vol.11 , pp. 40-54
- Fouque, J.-P.¹ Han, C.-H.²

3
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- Cambridge University Press
- Fouque J.-P., Papanicolaou G., and Sircar R. Derivatives in Financial Markets with Stochastic Volatility (2000), Cambridge University Press
- (2000) Derivatives in Financial Markets with Stochastic Volatility
- Fouque, J.-P.¹ Papanicolaou, G.² Sircar, R.³

4
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- From the implied volatility skew to a Robust correction to Black-Scholes American option prices
- Fouque J.P., Papanicolaou G., and Sircar R. From the implied volatility skew to a Robust correction to Black-Scholes American option prices. Int. J. Theoretical Appl. Financ. 4 4 (2001) 651-675
- (2001) Int. J. Theoretical Appl. Financ. , vol.4 , Issue.4 , pp. 651-675
- Fouque, J.P.¹ Papanicolaou, G.² Sircar, R.³

5
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- Multiscale stochastic volatility asymptotics
- Fouque J.-P., Papanicolaou G., Sircar R., and Solna K. Multiscale stochastic volatility asymptotics. SIAM J. Multiscale Model. Sim. 2 1 (2003) 22-42
- (2003) SIAM J. Multiscale Model. Sim. , vol.2 , Issue.1 , pp. 22-42
- Fouque, J.-P.¹ Papanicolaou, G.² Sircar, R.³ Solna, K.⁴

6
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- Springer Verlag
- Glasserman P. Monte Carlo Methods in Financial Engineering (2003), Springer Verlag
- (2003) Monte Carlo Methods in Financial Engineering
- Glasserman, P.¹

7
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- Pricing American options: a duality approach
- Haugh M.B., and Kogan L. Pricing American options: a duality approach. Oper. Res. 52 2 (2004) 258-270
- (2004) Oper. Res. , vol.52 , Issue.2 , pp. 258-270
- Haugh, M.B.¹ Kogan, L.²

8
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- Valuing American options by simulation: a simple least-squares approach
- Longstaff F., and Schwartz E. Valuing American options by simulation: a simple least-squares approach. Rev. Financ. Stud. 14 (2001) 113-147
- (2001) Rev. Financ. Stud. , vol.14 , pp. 113-147
- Longstaff, F.¹ Schwartz, E.²

9
- 0004171561
- Springer
- Karatzas I., and Shreve S.E. Brownian Motion and Stochastic Calculus. 2/e (2000), Springer
- (2000) Brownian Motion and Stochastic Calculus. 2/e
- Karatzas, I.¹ Shreve, S.E.²

10
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- Monte carlo valuation of American options
- Rogers L.C.G. Monte carlo valuation of American options. Math. Financ. 12 (2002) 271-286
- (2002) Math. Financ. , vol.12 , pp. 271-286
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11
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- Regression methods for pricing complex American-style options
- Tsitsiklis J., and Van Roy B. Regression methods for pricing complex American-style options. IEEE T. Neural. Networ. 12 (2001) 694-703
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- Tsitsiklis, J.¹ Van Roy, B.²

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