TY - GEN A1 - Milstein, G.N. A1 - Reiß, Oliver A1 - Schoenmakers, John T1 - Monte Carlo methods for pricing and hedging American options N2 - We introduce a new Monte Carlo method for constructing the exercise boundary of an American option in a generalized Black-Scholes framework. Based on a known exercise boundary, it is shown how to price and hedge the American option by Monte Carlo simulation of suitable probabilistic represen- tations in connection with the respective parabolic boundary value problem. The methods presented are supported by numerical simulation experiments. Y1 - 2004 UR - https://opus4.kobv.de/opus4-matheon/frontdoor/index/index/docId/63 UR - https://nbn-resolving.org/urn:nbn:de:0296-matheon-634 ER -