Lower and Upper Bounds in the Monte-Carlo Simulation of Bermudan Basket Options

7 Pages Posted: 9 May 2013  

Fabien Le Floc'h

Calypso Technology; Independent

Date Written: May 8, 2013

Abstract

We find lower and upper bounds for the price of Bermudan basket options by Monte-Carlo simulation through regression and look at the impact of the choice of random number generator, as well as whether including in-the-money paths or not in the regression.

Keywords: Monte-Carlo, American Option, Bermudan Option, Longstaff-Schwartz

Suggested Citation

Le Floc'h, Fabien, Lower and Upper Bounds in the Monte-Carlo Simulation of Bermudan Basket Options (May 8, 2013). Available at SSRN: https://ssrn.com/abstract=2262259 or http://dx.doi.org/10.2139/ssrn.2262259

Fabien Le Floc'h (Contact Author)

Calypso Technology ( email )

106 rue de la Boetie
Paris, 75008
France

Independent ( email )

France

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