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Monte Carlo Methods and Applications

Managing Editor: Sabelfeld, Karl K.

Editorial Board: Binder, Kurt / Bouleau, Nicolas / Chorin, Alexandre J. / Dimov, Ivan / Dubus, Alain / Egorov, Alexander D. / Ermakov, Sergei M. / Halton, John H. / Heinrich, Stefan / Kalos, Malvin H. / Lepingle, D. / Makarov, Roman / Mascagni, Michael / Mathe, Peter / Niederreiter, Harald / Platen, Eckhard / Sawford, Brian R. / Schmid, Wolfgang Ch. / Schoenmakers, John / Simonov, Nikolai A. / Sobol, Ilya M. / Spanier, Jerry / Talay, Denis

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CiteScore 2016: 0.70

SCImago Journal Rank (SJR) 2016: 0.647
Source Normalized Impact per Paper (SNIP) 2016: 0.908

Mathematical Citation Quotient (MCQ) 2016: 0.33

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1569-3961
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Volume 12, Issue 5

Issues

Policy iteration for american options: overview

Christian Bender / Anastasia Kolodko
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  • 2. Weierstrass Institute for Applied Analysis and Stochastics, Mohrenstr. 39, 10117 Berlin, Germany
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  • 3. Institute of Computational Mathematics and Mathematical Geophysics Russian Acad. Science, Lavrentieva str. 6, 630090 Novosibirsk, Russia
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/ John Schoenmakers
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  • 2. Weierstrass Institute for Applied Analysis and Stochastics, Mohrenstr. 39, 10117 Berlin, Germany
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This paper is an overview of recent results by Kolodko and Schoenmakers (2006), Bender and Schoenmakers (2006) on the evaluation of options with early exercise opportunities via policy improvement. Stability is discussed and simulation results based on plain Monte Carlo estimators for conditional expectations are presented.

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Published in Print: 2006-11-01


Citation Information: Monte Carlo Methods and Applications mcma, Volume 12, Issue 5, Pages 347–362, ISSN (Online) 1569-3961, ISSN (Print) 0929-9629, DOI: https://doi.org/10.1515/156939606779329053.

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