Pricing American-style securities using simulation
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Control and Optimization,Economics and Econometrics
Reference45 articles.
1. On the computation of continuous time option prices using discrete approximations;Amin;Journal of Financial and Quantitative Analysis,1991
2. Discrete-time valuation of American options with stochastic interest rates;Amin;Review of Financial Studies,1995
3. Pricing foreign currency options under stochastic interest rates;Amin;Journal of International Money and Finance,1991
4. Convergence of American option values from discrete- to continuous-time financial models;Amin;Mathematical Finance,1994
5. Numerical valuation of high dimensional multivariate American securities;Barraquand;Journal of Financial and Quantitative Analysis,1995
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