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    National Tsing Hua University Institutional Repository > 科技管理學院  > 計量財務金融學系 > 期刊論文 >  Asymmetric Variance Reduction for Pricing American Options

    Please use this identifier to cite or link to this item: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62082

    Title: Asymmetric Variance Reduction for Pricing American Options
    Authors: Chuan-Hsiang Han;Jean-Pierre Fouque
    教師: 韓傳祥
    Date: 2009
    Publisher: Elsevier
    Relation: Handbook of Numerical Analysis,Volume 15, 2009, Pages 169-187
    Keywords: Asymmetric Variance Reduction
    American Options
    Abstract: Based on the dual formulation by Rogers [2002], Monte Carlo algorithms to estimate the high-biased and low-biased estimates for American option prices are proposed. Bounds for pricing errors and the variance of biased estimators are shown to be dependent on hedging martingales. These martingales are applied to (1) simultaneously reduce the error bound and the variance of the high-biased estimator and (2) reduce the variance of the low-biased estimator while preserving its biased level. For a class of stochastic volatility models, projected hedging martingales are constructed based on an application of asymptotic expansion of option prices introduced in Fouque [3]. These martingales are easy to compute. Numerical results demonstrate the robustness and effectiveness of these projected hedging martingales
    URI: http://www.elsevier.com/
    Appears in Collections:[計量財務金融學系] 期刊論文

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