This article presents a simple yet powerful new approach for approximating the value of
American options by simulation. The key to this approach is the use of least squares to …

The Monte Carlo approach has proved to be a valuable and flexible computational tool in
modern finance. This paper discusses some of the recent applications of the Monte Carlo …

We introduce and analyze a simulation-based approximate dynamic programming method
for pricing complex American-style options, with a possibly high-dimensional underlying …

This paper introduces a dual way to price American options, based on simulating the paths
of the option payoff, and of a judiciously chosen Lagrangian martingale. Taking the pathwise …

We develop a new method for pricing American options. The main practical contribution of
this paper is a general algorithm for constructing upper and lower bounds on the true price …

High-dimensional problems frequently arise in the pricing of derivative securities–for
example, in pricing options on multiple underlying assets and in pricing term structure …

This paper describes a practical algorithm based on Monte Carlo simulation for the pricing of
multidimensional American (ie, continuously exercisable) and Bermudan (ie, discretely …

Traditional models of portfolio choice assume that investors can continuously trade unlimited
amounts of securities. In reality, investors face liquidity constraints. I analyze a model where …

This paper considers the pricing of Bermuda-style swaptions in the Libor market model
(Brace et al (1997), Jamshidian (1997), Miltersen et al (1997)) and its extensions (Andersen …

Private financing of large-scale infrastructure projects through public private partnerships
(PPPs) has grown in recent decades. Together with changes in conventional construction …