Monte Carlo Methods for American Options

We review the basic properties of American options and the difficulties of applying Monte Carlo valuation to American options. Recent progress on the Least Squares Monte Carlo (LSM) method is described, including the use of quasi-random sequences in LSM. A particle approach to evaluation of American options is formulated. Conclusions and prospects for future research are discussed.

• Type: Conference
• Year: 2004
• Where: WSC
• Authors: Russel E. Caflisch, Suneal Chaudhary
• Keywords: American Options, Modeling And Simulation, Monte Carlo, Monte Carlo Valuation, WSC 2004