Monte Carlo Valuation of American Options through Computation of the Optimal Exercise Frontier
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.
Volume (Year): 39 (2004)
Issue (Month): 02 (June)
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- Doan, Viet_Dung & Gaikwad, Abhijeet & Bossy, Mireille & Baude, FranÃ§oise & 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.
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