Foresight Bias and Suboptimality Correction in Monte—Carlo Pricing of Options with Early Exercise-Reference-Cited by-同舟云学术

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Foresight Bias and Suboptimality Correction in Monte—Carlo Pricing of Options with Early Exercise

Published:2008 Issue: Volume: Page:645-649
ISSN:1612-3956
Container-title:Progress in Industrial Mathematics at ECMI 2006
language:
Short-container-title:

Author:

Fries Christian P.

Publisher

Springer Berlin Heidelberg

Link

http://link.springer.com/content/pdf/10.1007/978-3-540-71992-2_107

Reference2 articles.

1. Fries, C.P.: Foresight Bias and Suboptimality Correction in Monte-Carlo Pricing of Options with Early Exercise: Classification, Calculation and Removal (2005). http://www.christian-fries.de/finmath/foresightbias

2. Fries, C.P.: Mathematical Finance. Theory, Modeling, Implementation. Lectures Notes. Frankfurt am Main (2006). http://www.christian-fries.de/finmath/book

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