Pricing multi-asset American-style options by memory reduction Monte Carlo methods-Reference-Cited by-同舟云学术

Pricing multi-asset American-style options by memory reduction Monte Carlo methods

Published:2006-08 Issue:2 Volume:179 Page:535-544
ISSN:0096-3003
Container-title:Applied Mathematics and Computation
language:en
Short-container-title:Applied Mathematics and Computation

Author:

Chan Raymond H.,Wong Chi-Yan,Yeung Kit-Ming

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference13 articles.

1. Numerical valuation of high dimensional multivariate American securities;Barraquand;J. Financ. Quant. Anal.,1995

2. Monte Carlo methods for security pricing;Boyle;J. Econom. Dynam. Control,1997

3. Pricing American-style securities using simulation;Broadie;J. Econom. Dynam. Control,1997

4. R. Chan, C. Wong, K. Yeung, Pricing American-Style Opinions by Monte Carlo Methods without Storing all the Intermediate Asset Prices, CUHK Math. Dept. Research Report #2002-11.

5. Fortran 90/95 for Scientists and Engineers;Chapman,1998

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