A Parallel Quasi-Monte Carlo Approach to Pricing American Options on Multiple Assets

A Parallel Quasi-Monte Carlo Approach to Pricing American Options

Monte Carlo Methods and Path-Generation techniques for Pricing Multi-asset Path-dependent Options

We consider the problem of pricing path-dependent options on a basket of underlying assets using simulations. As an example we develop our studies using Asian options. Asian options are derivative contracts in which the underlying variable is the average price of given assets sampled over a period of time. Due to this structure, Asian options display a lower volatility and are therefore cheaper...

Comparisons of alternative quasi-Monte Carlo sequences for American option pricing

Quasi-Monte Carlo sequences have been shown to provide accurate option price approximations for a variety of options. In this paper, we apply quasi-Monte Carlo sequences in a duality approach to value American options. We compare the results using different low discrepancy sequences and estimate error bounds and computational effort. The results demonstrate the value of sequences using expansio...

Application of Monte Carlo Simulation in the Assessment of European Call Options

In this paper, the pricing of a European call option on the underlying asset is performed by using a Monte Carlo method, one of the powerful simulation methods, where the price development of the asset is simulated and value of the claim is computed in terms of an expected value. The proposed approach, applied in Monte Carlo simulation, is based on the Black-Scholes equation which generally def...

Monte Carlo Pricing of American Options Using Nonparametric Regression

This paper provides an introduction to Monte Carlo algorithms for pricing American options written on multiple assets, with special emphasis on methods that can be applied in a multi-dimensional setting. Simulated paths can be used to estimate by nonparametric regression the continuation value of the option or the optimal exercise policy and the value functions can then be computed by backward ...