Revisit of stochastic mesh method for pricing American options

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Guangwu Liu, L. Jeff Hong

Published: 01 Jan 2009, Last Modified: 14 May 2025Oper. Res. Lett. 2009EveryoneRevisionsBibTeXCC BY-SA 4.0
Abstract: From an importance sampling viewpoint, Broadie and Glasserman [M. Broadie, P. Glasserman, A stochastic mesh method for pricing high-dimensional American options, Journal of Computational Finance 7 (4) (2004) 35–72] proposed a stochastic mesh method to price American options. In this paper, we revisit the method from a conditioning viewpoint, and derive some new weights.