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

Alobaidi, Ghada; Mallier, Roland

Serdica Mathematical Journal (2002)

- Volume: 28, Issue: 3, page 207-218
- ISSN: 1310-6600

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topAlobaidi, 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 -

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