High-dimensional pricing problems frequently arise with financial options (examples include basket options, outperformance options, interest-rate and foreign currency options) and real options. American versions of these options, i.e., where the owner has the right to exercise early, are...

This paper develops methods for relating the prices of discrete- and continuous-time versions of path-dependent options sensitive to external values of the underlying aset. including lookback, barrier, and hindsight options. The relationships take the form of correction terms that can be...

We develop a simulation algorithm for estimating the prices of American-style securities, i.e. securities with opportunities for early exercice. Our algorithm provides both point estimates and error bounds for true security price.