7
$\begingroup$

I have read the paper written by Egloff (2005) using machine learning techniques to solve the optimal stopping problem.

Is there any development in pricing American options during 2005-2016? (based on Monte Carlo)

I appreciate it if you can offer me some clues!

Improve this question
$\endgroup$
2
  • $\begingroup$ Songping Zhu, Exact and Explicit Solution for the Valuation of American Put Option, Quantitative Finance, Vol. 6, No. 3, June 2006, 229-242 (However, this method has not found practical application so far). Too complicated and slow. $\endgroup$ – noob2 Mar 18 '16 at 17:54
  • $\begingroup$ Have you checked out Least Squares Monte Carlo method(2001) proposed by Longstaff and Schwartz? It’s widely used in the industry. here $\endgroup$ – Ramanujam Narayanan Feb 28 '18 at 15:42

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.