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Options: A Monte Carlo approach

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Boyle, Phelim P.
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File URL: http://www.sciencedirect.com/science/article/B6VBX-458X2BW-Y/2/dfa6a2b4ceb42aad63a2df40bbd8a4e2
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 4 (1977)
Issue (Month): 3 (May)
Pages: 323-338
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Handle: RePEc:eee:jfinec:v:4:y:1977:i:3:p:323-338

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  2. Francois-Éric Racicot & Raymond Théoret, 2006. "La simulation de Monte Carlo: forces et faiblesses (avec applications Visual Basic et Matlab et présentation d’une nouvelle méthode QMC)," RePAd Working Paper Series UQO-DSA-wp052006, Département des sciences administratives, UQO. [Downloadable!]
  3. Jin-Chuan Duan & Jean-Guy Simonato, 1995. "Empirical Martingale Simulation for Asset Prices," CIRANO Working Papers 95s-43, CIRANO. [Downloadable!]
  4. N.P. Firth & J.N. Dewynne, 2004. "High Dimensional Radial Barrier Options," OFRC Working Papers Series 2004mf02, Oxford Financial Research Centre. [Downloadable!]
  5. Saman Majd & Stewart C. Myers, 1986. "Tax Asymmetries and Corporate Income Tax Reform," NBER Working Papers 1924, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  6. Josh Lerner, 2000. "Where Does State Street Lead? A First Look at Finance Patents, 1971-2000," NBER Working Papers 7918, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  7. John S. Ying & Joel S. Sternberg, 2005. "The Impact of Serial Correlation on Option Prices in a Non- Frictionless Environment: An Alternative Explanation for Volatility Skew," Working Papers 05-12, University of Delaware, Department of Economics. [Downloadable!]
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  9. Ghulam Sorwar, 2005. "Implied derivative security prices based two-factor interest model: a UK application," Applied Financial Economics, Taylor and Francis Journals, vol. 15(10), pages 739-744, June. [Downloadable!] (restricted)
  10. David F. Babbel & Craig Merrill, 1997. "Economic Valuation Models for Insurers," Center for Financial Institutions Working Papers 97-44, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
  11. Riccardo Rebonato, Ian Cooper, 1998. "Coupling backward induction with Monte Carlo simulations: a fast Fourier transform (FFT) approach," Applied Mathematical Finance, Taylor and Francis Journals, vol. 5(2), pages 131-141, June. [Downloadable!] (restricted)
  12. Joshua Rosenberg, 1999. "Empirical Tests of Interest Rate Model Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-015, New York University, Leonard N. Stern School of Business-. [Downloadable!]
  13. Francisco Javier Fernandez, 2002. "On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives," Working Papers Economia wp02-19, Instituto de Empresa, Area of Economic Environment. [Downloadable!]
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  14. Silvia Caserta & Jon Danielsson & Casper G. de Vries, 1998. "Abnormal Returns, Risk, and Options in Large Data Sets," Tinbergen Institute Discussion Papers 98-107/2, Tinbergen Institute. [Downloadable!]
  15. Alexander Boogert & Cyriel de Jong, 2007. "Gas Storage Valuation Using a Monte Carlo Method," Birkbeck Working Papers in Economics and Finance 0704, Birkbeck, School of Economics, Mathematics & Statistics. [Downloadable!]
  16. Mark Broadie & Jérôme B. Detemple, 1996. "Recent Advances in Numerical Methods for Pricing Derivative Securities," CIRANO Working Papers 96s-17, CIRANO. [Downloadable!]
  17. Løchte, Peter, 2006. "Traffic Light Options," Finance Research Group Working Papers F-2006-08, Aarhus School of Business, Department of Business Studies. [Downloadable!]
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