American options from MARS. Ehrlichman, S. M. T. & Henderson, S. G. In Perrone, L. F., Wieland, F. P., Liu, J., Lawson, B. G., Nicol, D. M., & Fujimoto, R. M., editors, Proceedings of the 2006 Winter Simulation Conference, pages 719–726, Piscataway, New Jersey, 2006. IEEE.
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Paper abstract bibtex
Paper abstract bibtex We develop a class of control variates for the American option pricing problem that are constructed through the use of MARS - multivariate adaptive regression splines. The splines approximate the option's value function at each time step, and the value function approximations are then used to construct a martingale that serves as the control variate. Significant variance reduction is possible even in high dimensions. The primary restriction is that we must be able to compute certain one-step conditional expectations.
@inproceedings{ehrhen06b,
abstract = {We develop a class of control variates for the American option pricing problem that are constructed through the use of MARS - multivariate adaptive regression splines. The splines approximate the option's value function at each time step, and the value function approximations are then used to construct a martingale that serves as the control variate. Significant variance reduction is possible even in high dimensions. The primary restriction is that we must be able to compute certain one-step conditional expectations.},
address = {Piscataway, New Jersey},
author = {S. M. T. Ehrlichman and S. G. Henderson},
booktitle = {Proceedings of the 2006 Winter Simulation Conference},
date-added = {2023-05-05 13:44:25 -0400},
date-modified = {2023-05-05 13:44:25 -0400},
editor = {L. F. Perrone and F. P. Wieland and J. Liu and B. G. Lawson and D. M. Nicol and R. M. Fujimoto},
pages = {719--726},
publisher = {IEEE},
title = {American options from {MARS}},
url_paper = {pubs/EhrHen06b.pdf},
year = {2006}}Downloads: 0
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