The forward-path method for pricing multi-asset American-style options under general diffusion processes

作者：

Highlights：

• Generalize the application of forward-path method to general diffusion model.

• Apply explicit and implicit Milstein–Taylor schemes to avoid solving equations.

• The method works as a plug-in with good flexibility.

• High accuracy in pricing American-style options by Least-Square Method.

摘要

•Generalize the application of forward-path method to general diffusion model.•Apply explicit and implicit Milstein–Taylor schemes to avoid solving equations.•The method works as a plug-in with good flexibility.•High accuracy in pricing American-style options by Least-Square Method.

论文关键词：Monte Carlo,Memory reduction,American-style options,Taylor implicit scheme

论文评审过程：Received 25 May 2013, Available online 4 December 2013.

论文官网地址：https://doi.org/10.1016/j.cam.2013.11.026