Pricing American Derivatives using Simulation: A Biased Low Approach-Reference-Cited by-同舟云学术

Pricing American Derivatives using Simulation: A Biased Low Approach

Published:2002 Issue: Volume: Page:181-200
ISSN:
Container-title:Monte Carlo and Quasi-Monte Carlo Methods 2000
language:
Short-container-title:

Author:

Boyle Phelim P.,Kolkiewicz Adam W.,Tan Ken Seng

Publisher

Springer Berlin Heidelberg

Link

http://link.springer.com/content/pdf/10.1007/978-3-642-56046-0_12

Reference26 articles.

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3. A.N. Avramidis and P. Hyden. Efficiency improvement for pricing American options with a stochastic mesh. In P.A. Farrington, H.B. Nembhard, D.T. Sturrock, and G.W. Evans, editors, Proceedings of the 1999 Winter Conference, pages 344–350. 1999.

4. T. Avramidis, Y. Zinchenko, T.F. Coleman and A. Verma. Efficiency improvement for pricing American options with a stochastic mesh: Parallel implementation. Financial Engineering News, 19:1–7, 2000.

5. J. Barraquand and D. Martineau. Numerical valuation of high dimensional multivariate American securities. Journal of Financial and Quantitative Analysis, 30(3)-.383–405, 1995.

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