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Pricing American-style securities using simulation

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Author Info
Broadie, Mark
Glasserman, Paul
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File URL: http://www.sciencedirect.com/science/article/B6V85-3SWYBJD-3/2/b09d6a2428a76f385868373beda6a38a
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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 21 (1997)
Issue (Month): 8-9 (June)
Pages: 1323-1352
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Handle: RePEc:eee:dyncon:v:21:y:1997:i:8-9:p:1323-1352

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  1. Nelson Areal & Artur Rodrigues & Manuel Armada, 2008. "On improving the least squares Monte Carlo option valuation method," Review of Derivatives Research, Springer, vol. 11(1), pages 119-151, March. [Downloadable!] (restricted)
  2. Moez Mrad & Nizar Touzi & Amina Zeghal, 2006. "Monte Carlo Estimation of a Joint Density Using Malliavin Calculus, and Application to American Options," Computational Economics, Springer, vol. 27(4), pages 497-531, June. [Downloadable!] (restricted)
  3. Li, Minqiang, 2009. "A Quasi-analytical Interpolation Method for Pricing American Options under General Multi-dimensional Diffusion Processes," MPRA Paper 17348, University Library of Munich, Germany. [Downloadable!]
  4. Victor E. Vaugirard, 2001. "Monte Carlo applied to exotic digital options," Applied Mathematical Finance, Taylor and Francis Journals, vol. 8(3), pages 183-196, September. [Downloadable!] (restricted)
  5. Berridge, S.J. & Schumacher, J.M., 2004. "An irregular grid approach for pricing high-dimensional American options," Discussion Paper 18, Tilburg University, Center for Economic Research. [Downloadable!]
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  6. Vladislav Kargin, 2003. "Lattice Option Pricing By Multidimensional Interpolation," Finance 0309003, EconWPA, revised 29 Oct 2004. [Downloadable!]
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  7. Manuel Ammann & Axel Kind & Christian Wilde, 2005. "Simulation-Based Pricing of Convertible Bonds," Finance 0507015, EconWPA. [Downloadable!]
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  8. Flavia Cortelezzi & Giovanni Villani, 2009. "Valuation of R&D Sequential Exchange Options Using Monte Carlo Approach," Computational Economics, Springer, vol. 33(3), pages 209-236, April. [Downloadable!] (restricted)
  9. Marat Kramin & Saikat Nandi & Alexander Shulman, 2008. "A multi-factor Markovian HJM model for pricing American interest rate derivatives," Review of Quantitative Finance and Accounting, Springer, vol. 31(4), pages 359-378, November. [Downloadable!] (restricted)
  10. Giovanni Villani, 2004. "Valutazione di opzioni exchange attraverso la simulazione Monte Carlo e stima delle sensitivita'," Quaderni DSEMS 10-2004, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia. [Downloadable!]
  11. Augusto Castillo, 2004. "Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 41(124), pages 345-360. [Downloadable!]
  12. Jensen, Malene Shin & Svenstrup, Mikkel, 2002. "Efficient Control Variates and Strategies for Bermudan Swaptions in a Libor Market Model," Finance Working Papers 02-23, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
  13. N. Hilber & N. Reich & C. Schwab & C. Winter, 2009. "Numerical methods for Lévy processes," Finance and Stochastics, Springer, vol. 13(4), pages 471-500, September. [Downloadable!] (restricted)
  14. Flavia Cortelezzi & Giovanni Villani, 2008. "Valuation of R&D Sequential Exchange Options using Monte Carlo approach," Quaderni DSEMS 04-2008, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia. [Downloadable!]
  15. A.-S. Chen & P.-F. Shen, 2003. "Computational complexity analysis of least-squares Monte Carlo (LSM) for pricing US derivatives," Applied Economics Letters, Taylor and Francis Journals, vol. 10(4), pages 223-229, March. [Downloadable!] (restricted)
  16. Denis Belomestny & Grigori N. Milstein & Vladimir Spokoiny, 2006. "Regression methods in pricing American and Bermudan options using consumption processes," SFB 649 Discussion Papers SFB649DP2006-051, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
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