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Article Dans Une Revue ESAIM: Proceedings and Surveys Année : 2019

Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view

Résumé

We extend the viscosity solution characterization proved in [5] for call/put American option prices to the case of a general payoff function in a multi-dimensional setting: the price satisfies a semilinear re-action/diffusion type equation. Based on this, we propose two new numerical schemes inspired by the branching processes based algorithm of [8]. Our numerical experiments show that approximating the discontinu-ous driver of the associated reaction/diffusion PDE by local polynomials is not efficient, while a simple randomization procedure provides very good results.
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Dates et versions

hal-01666399 , version 1 (18-12-2017)
hal-01666399 , version 2 (13-11-2018)

Identifiants

Citer

Bruno Bouchard, Ki Wai Chau, Arij Manai, Ahmed Sid-Ali. Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view. ESAIM: Proceedings and Surveys, 2019, 65, pp.294-308. ⟨10.1051/proc/201965294⟩. ⟨hal-01666399v2⟩
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