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- W3167452308 abstract "The present article revisits the Diffusion Operator Integral (DOI) variance reduction technique originally proposed in [HP02] and extends its theoretical concept to the pricing of American-style options under (time-homogeneous) Levy stochastic differential equations. The resulting Jump Diffusion Operator Integral (JDOI) method can be combined with numerous Monte Carlo based stopping-time algorithms, including the ubiquitous least-squares Monte Carlo (LSMC) algorithm of Longstaff and Schwartz (cf. [Car96], [LS01]). We exemplify the usefulness of our theoretical derivations under a concrete, though very general jump-diffusion stochastic volatility dynamics and test the resulting LSMC based version of the JDOI method. The results provide evidence of a strong variance reduction when compared with a simple application of the LSMC algorithm and proves that applying our technique on top of Monte Carlo based pricing schemes provides a powerful way to speed-up these methods." @default.
- W3167452308 created "2021-06-22" @default.
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- W3167452308 date "2021-01-01" @default.
- W3167452308 modified "2023-10-16" @default.
- W3167452308 title "JDOI Variance Reduction Method and the Pricing of American-Style Options" @default.
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- W3167452308 doi "https://doi.org/10.2139/ssrn.3805213" @default.
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