A NOTE ON PERTURBATION ANALYSIS ESTIMATORS FOR AMERICAN-STYLE OPTIONS

In this note, we correct an error in the paper by Fu and Hu [1] for the perturbation analysis estimator given for the gradient of an American call option payoff on an underlying asset paying multiple dividends. We then introduce a different asset price model that is more straightforward than the previous model, and derive the corresponding gradient estimators. We conclude with a brief discussion of extensions of the estimator to other American-style options.