Monte Carlo might be ok to OTC derivatives, however for automatic market making of exchange traded option, which are mostly American, it would be too slow. After a bit more googling, I found these more recent slides by…
I googled and found slides there Leif extends the method to discrete dividends: https://www.math.cmu.edu/CCF/CCFevents/shreve/abstracts/L.An... ( I'm a fixed income quant, so I didn't look for it until now.) For a more…
"High Performance American Option Pricing" by Leif Andersen et al is many orders of magnitude faster than any finite difference method or other PDE / tree method.…
Monte Carlo might be ok to OTC derivatives, however for automatic market making of exchange traded option, which are mostly American, it would be too slow. After a bit more googling, I found these more recent slides by…
I googled and found slides there Leif extends the method to discrete dividends: https://www.math.cmu.edu/CCF/CCFevents/shreve/abstracts/L.An... ( I'm a fixed income quant, so I didn't look for it until now.) For a more…
"High Performance American Option Pricing" by Leif Andersen et al is many orders of magnitude faster than any finite difference method or other PDE / tree method.…