Pricing of path-dependent American options by Monte Carlo simulation
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Economic Dynamics and Control.
Volume (Year): 31 (2007)
Issue (Month): 11 (November)
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Web page: http://www.elsevier.com/locate/jedc
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- Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," University of California at Los Angeles, Anderson Graduate School of Management qt43n1k4jb, Anderson Graduate School of Management, UCLA.
- Detemple, Jérôme & Garcia, René & Rindisbacher, Marcel, 2005. "Intertemporal asset allocation: A comparison of methods," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2821-2848, November.
- Eikseth, Hans Marius & Lindset, Snorre, 2011. "Backdating executive stock options--An ex ante valuation," Journal of Economic Dynamics and Control, Elsevier, vol. 35(10), pages 1731-1743, October.
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