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q-fin.CP2014
Faster Comparison of Stopping Times by Nested Conditional Monte Carlo
Fabian Dickmann, Nikolaus Schweizer
We show that deliberately introducing a nested simulation stage can lead to significant variance reductions when comparing two stopping times by Monte Carlo. We derive the optimal…
q-fin.CP2013★ 3 cited
Pricing American options via multi-level approximation methods
Denis Belomestny, Fabian Dickmann, Tigran Nagapetyan
In this article we propose a novel approach to reduce the computational complexity of various approximation methods for pricing discrete time American options. Given a sequence of…