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MONTE CARLO APPROXIMATIONS OF AMERICAN OPTIONS THAT PRESERVE MONOTONICITY AND CONVEXITY

hal.structure.identifierAdvanced Learning Evolutionary Algorithms [ALEA]
hal.structure.identifierInstitut de Mathématiques de Bordeaux [IMB]
hal.structure.identifierCentre de Mathématiques Appliquées de l'Ecole polytechnique [CMAP]
dc.contributor.authorDEL MORAL, Pierre
hal.structure.identifierGroupe d'études et de recherche en analyse des décisions (GERAD)
dc.contributor.authorRÉMILLARD, Bruno
hal.structure.identifierLaboratoire Jean Alexandre Dieudonné [LJAD]
dc.contributor.authorRUBENTHALER, Sylvain
dc.date.created2010-10-30
dc.date.issued2012
dc.date.conference2011-06-01
dc.description.abstractEnIt 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.isoen
dc.publisherSpringer
dc.source.titleNumerical Methods in Finance
dc.subject.enMathematical finance
dc.subject.enconvexity
dc.subject.enAmerican option
dc.title.enMONTE CARLO APPROXIMATIONS OF AMERICAN OPTIONS THAT PRESERVE MONOTONICITY AND CONVEXITY
dc.typeCommunication dans un congrès
dc.identifier.doi10.1007/978-3-642-25746-9_4
dc.subject.halMathématiques [math]/Probabilités [math.PR]
bordeaux.page115-143
bordeaux.volume12
bordeaux.conference.titleNumerical Methods in Finance, Bordeaux June 2011
bordeaux.countryFR
bordeaux.title.proceedingNumerical Methods in Finance
bordeaux.conference.cityBordeaux
bordeaux.peerReviewedoui
hal.identifierhal-00755423
hal.version1
hal.invitedoui
hal.proceedingsoui
hal.conference.end2011-06-02
hal.popularnon
hal.audienceInternationale
hal.origin.linkhttps://hal.archives-ouvertes.fr//hal-00755423v1
bordeaux.COinSctx_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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