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Pricing of path-dependent American options by Monte Carlo simulation

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  • Fujiwara, Hajime
  • Kijima, Masaaki
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

    Volume (Year): 31 (2007)
    Issue (Month): 11 (November)
    Pages: 3478-3502

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    Handle: RePEc:eee:dyncon:v:31:y:2007:i:11:p:3478-3502

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    1. 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.
    2. Eric Fournié & Jean-Michel Lasry & Pierre-Louis Lions & Jérôme Lebuchoux, 2001. "Applications of Malliavin calculus to Monte-Carlo methods in finance. II," Finance and Stochastics, Springer, vol. 5(2), pages 201-236.
    3. Bruno Bouchard & Ivar Ekeland & Nizar Touzi, 2004. "On the Malliavin approach to Monte Carlo approximation of conditional expectations," Finance and Stochastics, Springer, vol. 8(1), pages 45-71, January.
    4. Duffie, Darrell & Huang, Ming, 1996. " Swap Rates and Credit Quality," Journal of Finance, American Finance Association, vol. 51(3), pages 921-49, July.
    5. Leland, Hayne E, 1994. " Corporate Debt Value, Bond Covenants, and Optimal Capital Structure," Journal of Finance, American Finance Association, vol. 49(4), pages 1213-52, September.
    6. L. C. G. Rogers, 2002. "Monte Carlo valuation of American options," Mathematical Finance, Wiley Blackwell, vol. 12(3), pages 271-286.
    7. 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.
    8. Bouchard, Bruno & Touzi, Nizar & Ekeland, Ivar, 2004. "On the Malliavin approach to Monte Carlo approximation of conditional expectations," Economics Papers from University Paris Dauphine 123456789/1802, Paris Dauphine University.
    9. Broadie, Mark & Glasserman, Paul, 1997. "Pricing American-style securities using simulation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1323-1352, June.
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    Cited by:
    1. 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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