Journal of Mathematical Sciences: Advances and ApplicationsAuthor's: Yanan Yun
Pages: [51] - [65]
Received Date: November 26, 2019; Revised March 7, 2020
Submitted by:
DOI: http://dx.doi.org/10.18642/jpamaa_7100122106
In this article, we use the least square Monte Carlo approach to estimate American lookback options, and use Sobol sequence and antithetic variable technique to reduce variance. Not only the specific steps of the OSLSM approach are given, but also the numerical examples are given. By comparing option price, standard deviation and price variance, it is found that the OSLSM approach using Sobol sequence and antithetic variable technique can get better simulation results than the LSM method.
American options, lookback options, antithetic variable technique, Sobol sequence.
