Pricing American-Style Options By Simulation
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Bibliographic InfoArticle provided by Springer in its journal Financial Markets and Portfolio Management.
Volume (Year): 19 (2005)
Issue (Month): 1 (June)
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Web page: http://www.springerlink.com/link.asp?id=119763
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- Boyle, Phelim & Broadie, Mark & Glasserman, Paul, 1997. "Monte Carlo methods for security pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1267-1321, June.
- Philip Protter & Emmanuelle Clément & Damien Lamberton, 2002. "An analysis of a least squares regression method for American option pricing," Finance and Stochastics, Springer, vol. 6(4), pages 449-471.
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