%0 Generic %1 bouchard2017montecarlo %A Bouchard, Bruno %A Chau, Ki %A Manai, Arij %A Sid-Ali, Ahmed %D 2017 %K stochastic-algorithm %T Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view %U http://arxiv.org/abs/1712.07383 %X We extend the viscosity solution characterization proved in 5 for call/put American option prices to the case of a general payoff function in a multi-dimensional setting: the price satisfies a semilinear re-action/diffusion type equation. Based on this, we propose two new numerical schemes inspired by the branching processes based algorithm of 8. Our numerical experiments show that approximating the discontinu-ous driver of the associated reaction/diffusion PDE by local polynomials is not efficient, while a simple randomization procedure provides very good results.

@misc{bouchard2017montecarlo, abstract = {We extend the viscosity solution characterization proved in [5] for call/put American option prices to the case of a general payoff function in a multi-dimensional setting: the price satisfies a semilinear re-action/diffusion type equation. Based on this, we propose two new numerical schemes inspired by the branching processes based algorithm of [8]. Our numerical experiments show that approximating the discontinu-ous driver of the associated reaction/diffusion PDE by local polynomials is not efficient, while a simple randomization procedure provides very good results.}, added-at = {2017-12-26T17:22:28.000+0100}, author = {Bouchard, Bruno and Chau, Ki and Manai, Arij and Sid-Ali, Ahmed}, biburl = {https://www.bibsonomy.org/bibtex/2b5a42df772a1e454cf36335c60d327ee/claired}, description = {Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view}, interhash = {5c39d7fc41bd219e667e2308b8883e77}, intrahash = {b5a42df772a1e454cf36335c60d327ee}, keywords = {stochastic-algorithm}, note = {cite arxiv:1712.07383}, timestamp = {2017-12-26T17:22:28.000+0100}, title = {Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view}, url = {http://arxiv.org/abs/1712.07383}, year = 2017 }