American Option Pricing Using Simulation: An Introduction with an Application to the GARCH Option Pricing Model
HANDBOOK OF RESEARCH METHODS AND APPLICATIONS IN EMPIRICAL FINANCE, Adrian Bell, Chris Brooks, Marcel Prokopczuk, eds., Edward Elgar Publishing, 2012
52 Pages Posted: 25 Apr 2012
Date Written: March 13, 2012
It contains an introduction to how simulation methods can be used to price American options and a discussion of various existing methods. An application using one of these methods, the regression based method, to the GARCH option pricing model is also provided.
Keywords: American options, GARCH models, simulation
JEL Classification: C22, C53, G13
Suggested Citation: Suggested Citation