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International conference "Stochastic Optimization and Optimal Stopping"
September 26, 2012 12:10–13:00, Moscow, Steklov Mathematical Institute of RAS
 

Plenary talks


Multilevel primal and dual approaches for pricing American options

John Schoenmakers

Weierstrass Institute, Berlin
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John Schoenmakers
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Abstract: In this talk we propose two novel simulation based approaches for pricing American options. The first one is a multilevel version of the well-known nested Monte Carlo algorithm of Andersen and Broadie (2004), whereas the second one is a multi level version of simulation based policy iteration.

Language: English
 
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