Monte carlo simulation algorithms for the pricing of american options. A dissertation submitted for the degree of Master of Science

Giles has provided in the duration of the dissertation. One looks at the pricing of American options using Monte Carlo simula-tions. The selected theories on the low-biased and high-biased algorithms are reviewed. Numerical results from the implementations of the chosen algorithms are presented and analysed. One also investigates the effects of applying antithetic variables to the high-biased algorithm, showing that the variance reducing technique provides great improvements to the ex-isting algorithm