Monte Carlo to price American Options

Monte Carlo to price American Options

Postby Lapsilago » Sun Mar 11, 2007 7:04 pm

Dear all,



to price American options with Monte Carlo simulation a widely applied method is the Longstaff-Schwartz regression method. Are there any other methods applied in practice? Has anybody applied Malliavin Calculus stuff in real life for example?



Furthermore, is it common sense to compute only the lower bound or does everybody also apply Rogers method to derive upper bounds from the above obtained lower bounds?



Anybody uses the iteration method of Schoenmakers?



Thx for your replies!
Lapsilago
 
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