MONTE CARLO APPROXIMATIONS OF AMERICAN OPTIONS THAT PRESERVE MONOTONICITY AND CONVEXITY
| hal.structure.identifier | Advanced Learning Evolutionary Algorithms [ALEA] | |
| hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
| hal.structure.identifier | Centre de Mathématiques Appliquées de l'Ecole polytechnique [CMAP] | |
| dc.contributor.author | DEL MORAL, Pierre | |
| hal.structure.identifier | Groupe d'études et de recherche en analyse des décisions (GERAD) | |
| dc.contributor.author | RÉMILLARD, Bruno | |
| hal.structure.identifier | Laboratoire Jean Alexandre Dieudonné [LJAD] | |
| dc.contributor.author | RUBENTHALER, Sylvain | |
| dc.date.created | 2010-10-30 | |
| dc.date.issued | 2012 | |
| dc.date.conference | 2011-06-01 | |
| dc.description.abstractEn | It can be shown that when the payoff function is convex and decreasing (re- spectively increasing) with respect to the underlying (multidimensional) assets, then the same is true for the value of the associated American option, provided some conditions are satisfied. In such a case, all Monte Carlo methods proposed so far in the literature do not preserve the convexity or monotonicity properties. In this paper, we propose a method of approximation for American options which can preserve both convexity and monotonicity. The resulting values can then be used to define exercise times and can also be used in combination with primal-dual methods to get sharper bounds. Other application of the algorithm include finding optimal hedging strategies. | |
| dc.language.iso | en | |
| dc.publisher | Springer | |
| dc.source.title | Numerical Methods in Finance | |
| dc.subject.en | Mathematical finance | |
| dc.subject.en | convexity | |
| dc.subject.en | American option | |
| dc.title.en | MONTE CARLO APPROXIMATIONS OF AMERICAN OPTIONS THAT PRESERVE MONOTONICITY AND CONVEXITY | |
| dc.type | Communication dans un congrès | |
| dc.identifier.doi | 10.1007/978-3-642-25746-9_4 | |
| dc.subject.hal | Mathématiques [math]/Probabilités [math.PR] | |
| bordeaux.page | 115-143 | |
| bordeaux.volume | 12 | |
| bordeaux.conference.title | Numerical Methods in Finance, Bordeaux June 2011 | |
| bordeaux.country | FR | |
| bordeaux.title.proceeding | Numerical Methods in Finance | |
| bordeaux.conference.city | Bordeaux | |
| bordeaux.peerReviewed | oui | |
| hal.identifier | hal-00755423 | |
| hal.version | 1 | |
| hal.invited | oui | |
| hal.proceedings | oui | |
| hal.conference.end | 2011-06-02 | |
| hal.popular | non | |
| hal.audience | Internationale | |
| hal.origin.link | https://hal.archives-ouvertes.fr//hal-00755423v1 | |
| bordeaux.COinS | ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.btitle=Numerical%20Methods%20in%20Finance&rft.date=2012&rft.volume=12&rft.spage=115-143&rft.epage=115-143&rft.au=DEL%20MORAL,%20Pierre&R%C3%89MILLARD,%20Bruno&RUBENTHALER,%20Sylvain&rft.genre=unknown |
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