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Assessing the Least Squares Monte-Carlo Approach to American Option Valuation · Study

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ArticleAssessing the Least Squares Monte-Carlo Approach to American Option Valuation

Lars Stentoft2004

Article2004

Assessing the Least Squares Monte-Carlo Approach to American Option Valuation

121 citations·0/0 files stored·Review of Derivatives Research

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Stochastic processes and financial applications Financial Markets and Investment Strategies Capital Investment and Risk Analysis

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References

1973The Pricing of Options and Corporate Liabilities 1979Option pricing: A simplified approach 2012The Econometrics of Financial Markets 2016“Options, Futures, and Other Derivatives”2001Valuing American Options by Simulation: A Simple Least-Squares Approach 1998Numerical Methods in Economics 1977Options: A Monte Carlo approach 1997Monte Carlo methods for security pricing

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2005Pricing American options when the underlying asset follows GARCH processes 2009Regression-based algorithms for life insurance contracts with surrender guarantees 2008Pricing Life Insurance Contracts with Early Exercise Features 2004The Comovement of US and UK Stock Markets 2011Gas storage valuation using a multifactor price process 2010Pricing and hedging American-style options: a simple simulation-based approach 2008

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2004Monte Carlo Valuation of American Options through Computation of the Optimal Exercise Frontierarticle · 13 shared references 2003On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivativesarticle · 11 shared references 2001On the Robustness of Least-Squares Monte Carlo (Lsm) for Pricing American Derivativespreprint · 11 shared references 2004Convergence of the Least Squares Monte Carlo Approach to American Option Valuationarticle · 10 shared references 2012Finite-Element Methodschapter · 10 shared references 2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 9 shared references

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Year2004

Typearticle

Published2004-06-10

VenueReview of Derivatives Research

ISSN-L1380-6645

Languageen

Citations121

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1023/b:redr.0000031176.24759.e6

openalex_workW2020207464

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On improving the least squares Monte Carlo option valuation method

2004Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics