Constructing the Optimal Exercise Boundary for American Options by Least-Squares Monte Carlo-Reference-Cited by-同舟云学术

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Constructing the Optimal Exercise Boundary for American Options by Least-Squares Monte Carlo

Published:2008 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Liu Qiang

Publisher

Elsevier BV

Reference22 articles.

1. Options: A Monte Carlo approach;P Boyle;Journal of Financial Economics,1977

2. Pricing and hedging American options: A recursive integration method;J.-Z Huang;Review of Financial Studies,1996

3. Option pricing: A simplified approach;J C Cox;Journal of Financial Economics,1979

4. Optimal exercise boundary in a binomial option pricing model;I J Kim;Journal of Financial Engineering,1994

5. A front-fixing finite difference method for the valuation of American options;L Wu;Journal of Financial Engineering,1997

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