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A new Monte Carlo method for American options. (English) Zbl 1121.91367
Summary: We introduce a new Monte Carlo method for constructing the exercise boundary of an American option in a generalized Black-Scholes framework. Based on a known exercise boundary, it is shown how to price and hedge the American option by Monte Carlo simulation of suitable probabilistic representations in connection with the respective parabolic boundary value problem. The method presented is supported by numerical experiments.
MSC:
91B28Finance etc. (MSC2000)
60H30Applications of stochastic analysis
65C30Stochastic differential and integral equations