We present a novel method for pricing European options based on the wavelet approximation (WA) method and the …-splines basis enables us to price options in a robust way, even in cases where Fourier-based pricing methods may show weaknesses …. The method appears to be particularly robust for pricing long-maturity options, fat tailed distributions, as well as …

Fourier techniques and a copula. Resulting is a fast simulation algorithm which can be employed to price European options …

> (SGBM) for pricing multi-dimensional Bermudan (i.e. discretely exercisable) options. The method generates a direct estimator … underlying spot prices, such as delta, gamma, etc) for Bermudan-style options. Computational results for various multi …-dimensional Bermudan options demonstrate the simplicity and efficiency of the algorithm proposed …

This paper considers the problem of pricing options with early-exercise features whose pay-off depends on several … to obtain a low-biased estimator for high-dimensional American options. The method has elements of the least squares … existing methods. Numerical results are given for single asset Bermudan options, Bermudan max options, Bermudan options on the …