Revisit of stochastic mesh method for pricing American options

Authors:
Guangwu Liu;L. Jeff Hong
Affiliations:
Department of Management Sciences, City University of Hong Kong, Tat Chee Avenue, Kowloon, Hong Kong, China;Department of Industrial Engineering and Logistics Management, The Hong Kong University of Science and Technology, Clear Water Bay, Hong Kong, China
Venue:
Operations Research Letters
Year:
2009

Citing 2
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Abstract

From an importance sampling viewpoint, Broadie and Glasserman [M. Broadie, P. Glasserman, A stochastic mesh method for pricing high-dimensional American options, Journal of Computational Finance 7 (4) (2004) 35-72] proposed a stochastic mesh method to price American options. In this paper, we revisit the method from a conditioning viewpoint, and derive some new weights.