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Monte Carlo Valuation of American Options through Computation of the Optimal Exercise Frontier

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  • Ibáñez, Alfredo
  • Zapatero, Fernando

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Bibliographic Info

Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 39 (2004)
Issue (Month): 02 (June)
Pages: 253-275

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Handle: RePEc:cup:jfinqa:v:39:y:2004:i:02:p:253-275_00

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Cited by:
  1. Doan, Viet_Dung & Gaikwad, Abhijeet & Bossy, Mireille & Baude, Françoise & Stokes-Rees, Ian, 2010. "Parallel pricing algorithms for multi-dimensional Bermudan/American options using Monte Carlo methods," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 81(3), pages 568-577.
  2. Tubetov, Dulat & Musshoff, Oliver & Kellner, Ulla, 0. "Investments in Kazakhstani Dairy Farming: A Comparison of Classical Investment Theory and the Real Options Approach," Quarterly Journal of International Agriculture, Humboldt-Universität zu Berlin, Humboldt-Universität zu Berlin, vol. 51.
  3. Musshoff, Oliver & Hirschauer, Norbert, 2008. "Investment planning under uncertainty and flexibility: the case of a purchasable sales contract," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, Australian Agricultural and Resource Economics Society, vol. 52(1), March.
  4. Jin, Xing & Li, Xun & Tan, Hwee Huat & Wu, Zhenyu, 2013. "A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction," European Journal of Operational Research, Elsevier, Elsevier, vol. 231(2), pages 362-370.
  5. Haverkamp, Matthias Wolbert & Musshoff, Oliver, 2013. "Are short rotation coppices an alternative to traditional agricultural land use in Germany? A real options approach," 2013 Conference (57th), February 5-8, 2013, Sydney, Australia, Australian Agricultural and Resource Economics Society 152184, Australian Agricultural and Resource Economics Society.
  6. D. Andricopoulos, Ari & Widdicks, Martin & Newton, David P. & Duck, Peter W., 2007. "Extending quadrature methods to value multi-asset and complex path dependent options," Journal of Financial Economics, Elsevier, Elsevier, vol. 83(2), pages 471-499, February.
  7. Cartea, Álvaro & Williams, Thomas, 2008. "UK gas markets: The market price of risk and applications to multiple interruptible supply contracts," Energy Economics, Elsevier, Elsevier, vol. 30(3), pages 829-846, May.
  8. Marcelo G. Figueroa, 2006. "Pricing Multiple Interruptible-Swing Contracts," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics 0606, Birkbeck, Department of Economics, Mathematics & Statistics.
  9. Alesii, Giuseppe, 2005. "VaR in real options analysis," Review of Financial Economics, Elsevier, Elsevier, vol. 14(3-4), pages 189-208.

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