Using Monte Carlo Methods to Evaluate Sub-Optimal Exercise Policies for American Options

Alobaidi, Ghada, and Mallier, Roland. "Using Monte Carlo Methods to Evaluate Sub-Optimal Exercise Policies for American Options." Serdica Mathematical Journal 28.3 (2002): 207-218. <http://eudml.org/doc/11557>.

@article{Alobaidi2002,
abstract = {∗This research, which was funded by a grant from the Natural Sciences and Engineering Research Council of Canada, formed part of G.A.’s Ph.D. thesis [1].In this paper we use a Monte Carlo scheme to find the returns that an uninformed investor might expect from an American option if he followed one of several näıve exercise strategies rather than the optimal exercise strategy. We consider several such strategies that an ill-advised investor might follow. We also consider how the expected return is affected by how often the investor checks to see if his exercise criteria have been met.},
author = {Alobaidi, Ghada, Mallier, Roland},
journal = {Serdica Mathematical Journal},
keywords = {American Options; Monte Carlo Method; American options; Monte Carlo method},
language = {eng},
number = {3},
pages = {207-218},
publisher = {Institute of Mathematics and Informatics Bulgarian Academy of Sciences},
title = {Using Monte Carlo Methods to Evaluate Sub-Optimal Exercise Policies for American Options},
url = {http://eudml.org/doc/11557},
volume = {28},
year = {2002},
}

TY - JOUR
AU - Alobaidi, Ghada
AU - Mallier, Roland
TI - Using Monte Carlo Methods to Evaluate Sub-Optimal Exercise Policies for American Options
JO - Serdica Mathematical Journal
PY - 2002
PB - Institute of Mathematics and Informatics Bulgarian Academy of Sciences
VL - 28
IS - 3
SP - 207
EP - 218
AB - ∗This research, which was funded by a grant from the Natural Sciences and Engineering Research Council of Canada, formed part of G.A.’s Ph.D. thesis [1].In this paper we use a Monte Carlo scheme to find the returns that an uninformed investor might expect from an American option if he followed one of several näıve exercise strategies rather than the optimal exercise strategy. We consider several such strategies that an ill-advised investor might follow. We also consider how the expected return is affected by how often the investor checks to see if his exercise criteria have been met.
LA - eng
KW - American Options; Monte Carlo Method; American options; Monte Carlo method
UR - http://eudml.org/doc/11557
ER -