Pricing American options using the Stochastic Grid Method with Bundling

Master thesis (2012)

Authors

Contributors

C.W. Oosterlee (mentor)
S. Jain (mentor)
Department
Applied mathematics (EEMCS) (TU Delft)
Copyright: © 2012 De Jong, S.D.
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Published Date

13-07-2012

Reuse Rights

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Faculty

Electrical Engineering, Mathematics and Computer Science

Department

Applied mathematics

Abstract

Pricing American options using a sophisticated technique combining Monte Carlo simulations and least squares regressions. This way an approximation for the option price can be derived with little computational effort.