MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE-EXERCISE OPTIONS-Reference-Cited by-同舟云学术

MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE-EXERCISE OPTIONS

Published:2004-10 Issue:4 Volume:14 Page:557-583
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Meinshausen N.,Hambly B. M.

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.0960-1627.2004.00205.x/fullpdf

Reference14 articles.

1. L.Andersen, and M.Broadie(2001 ): A Primal-Dual Simulation Algorithm for Pricing Multi-Dimensional American Options . Working paper, Columbia University.

2. Numerical Valuation of High Dimensional Multivariate American Securities

3. Interest Rate Models Theory and Practice

4. Pricing American-style securities using simulation

5. M.Broadie, and P.Glasserman(1997 ): A Stochastic Mesh Method for Pricing High-Dimensional American Options . Preprint.

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