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    WSC
    2008
    128views Modeling And Simulation» more  WSC 2008»
    Revisit of stochastic mesh method for pricing American options
    13 years 7 months ago
    Revisit of stochastic mesh method for pricing American options
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    We revisit the stochastic mesh method for pricing American options, from a conditioning viewpoint, rather than the importance sampling viewpoint of Broadie and Glasserman (1997). ...
    Guangwu Liu, L. Jeff Hong
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    WSC
    2007
    151views Modeling And Simulation» more  WSC 2007»
    American option pricing under stochastic volatility: a simulation-based approach
    13 years 7 months ago
    American option pricing under stochastic volatility: a simulation-based approach
    Download  www.informs-sim.org
    We consider the problem of pricing American options when the volatility of the underlying asset price is stochastic. No specific stochastic volatility model is assumed for the st...
    Arunachalam Chockalingam, Kumar Muthuraman
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