Convergence and Biases of Monte Carlo estimates of American option prices using a parametric exercise rule-Reference-Cited by-同舟云学术

Convergence and Biases of Monte Carlo estimates of American option prices using a parametric exercise rule

Published:2003-08 Issue:10 Volume:27 Page:1855-1879
ISSN:0165-1889
Container-title:Journal of Economic Dynamics and Control
language:en
Short-container-title:Journal of Economic Dynamics and Control

Author:

Garcı́a Diego

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference47 articles.

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3. Andersen, L., 1999. A simple approach to the pricing of Bermudan swaptions in the multi-factor libor market model. Working paper, General Re Financial Products.

4. Andersen, L., Broadie, M., 2002. A primal-dual simulation algorithm for pricing multi-dimensional American options. Working paper, Columbia University.

5. Numerical valuation of high dimensional multivariate American securities;Barraquand;Journal of Financial and Quantitative Analysis,1995

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