TY - GEN
T1 - Valuing American options by weighted least-squares Quasi-Monte Carlo
AU - Haijun, Yang
AU - Yang, Lei
PY - 2008
Y1 - 2008
N2 - American options pricing has the backward nature of iterative search feature. Based on the least-squares Monte Carlo(LSM), this paper employs Faure sequences and doubles the sample's number by antithetic variate method to decrease the variance of simulation. Then, underling assets are valued. Thus, weighted least-squares quasi-Monte Carlo (WLSQM) is proposed by weighted least-squares regression. Comparing the two methods with option value, standard error and computation cost, WLSQM is better than LSM, which validates WLSQM is efficient on pricing American options.
AB - American options pricing has the backward nature of iterative search feature. Based on the least-squares Monte Carlo(LSM), this paper employs Faure sequences and doubles the sample's number by antithetic variate method to decrease the variance of simulation. Then, underling assets are valued. Thus, weighted least-squares quasi-Monte Carlo (WLSQM) is proposed by weighted least-squares regression. Comparing the two methods with option value, standard error and computation cost, WLSQM is better than LSM, which validates WLSQM is efficient on pricing American options.
KW - American-style options
KW - Antithetic variates method
KW - Weighted least-squares quasi-Monte Carlo
UR - https://www.scopus.com/pages/publications/58049093304
U2 - 10.1109/WiCom.2008.2321
DO - 10.1109/WiCom.2008.2321
M3 - 会议稿件
AN - SCOPUS:58049093304
SN - 9781424421084
T3 - 2008 International Conference on Wireless Communications, Networking and Mobile Computing, WiCOM 2008
BT - 2008 International Conference on Wireless Communications, Networking and Mobile Computing, WiCOM 2008
T2 - 2008 International Conference on Wireless Communications, Networking and Mobile Computing, WiCOM 2008
Y2 - 12 October 2008 through 14 October 2008
ER -