Using Monte Carlo Methods to Evaluate Sub-Optimal Exercise Policies for American Options

∗This research, which was funded by a grant from the Natural Sciences and Engineering Research Council of Canada, formed part of G.A.’s Ph.D. thesis [1].

A New Algorithm for Monte Carlo for American Options

2000 Mathematics Subject Classification: 91B28, 65C05.

Low Volatility Options and Numerical Diffusion of Finite Difference Schemes

2000 Mathematics Subject Classification: 65M06, 65M12.