This article presents a simple yet powerful simulation-based approach for approximating the values of prices and Greeks (i.e. derivatives with respect to the underlying spot prices, such as delta, gamma, etc) for American-style options. This approach is primarily based upon the Least Squares...

This article presents a fast yet effective simulation-based approach for estimating the upper bounds of American-style option prices without nested simulations. We derive the analytical representation for the 'correct' martingale that is to be applied to the dual pricing formula to give the...

We consider Arrow's model for an economy engaged in consuming a randomly distributed natural resource, and in exploring previously unexplored land to find more of the resource. After modifying the model so that each discovery reveals a random amount of the resource, we use dynamic programming...