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A pruned and bootstrapped American option simulator

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2 Author(s)
M. Broadie ; Columbia Bus. Sch., New York, NY, USA ; P. Glasserman

The pricing of American options on multiple assets or with path-dependent payoffs is an important but computationally challenging problem. In earlier work, we introduced simulation estimators for this problem which, though biased, are consistent and asymptotically unbiased. In this paper, we introduce enhancements to reduce bias. One enhancement exploits more easily computed European option prices; another uses bootstrapping for bias estimation

Published in:

Simulation Conference Proceedings, 1995. Winter

Date of Conference:

3-6 Dec 1995