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Recent Advances in Numerical Methods for Pricing Derivative Securities

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  • Mark Broadie
  • Jérôme B. Detemple

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    Abstract

    This paper provides a survey of recent numerical methods for pricing derivative securities. Methods for standard American options on a single underlying asset, barrier and lookback options and options on multiple assets are reviewed. Criteria for comparison of different approaches are discussed. New computational results are also presented. Cet article présente une synthèse des méthodes numériques récentes utilisées pour l'évaluation des titres dérivés. Des méthodes qui s'appliquent aux options américaines standard sur actif sous-jacent unique, aux options avec barrières (barrier options) et rétroactives (lookback options), ainsi qu'aux options sur actifs multiples, sont passées en revue. Des critères de comparaison des diverses approches sont discutés. De nouveaux résultats numériques sont également présentés.

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    Bibliographic Info

    Paper provided by CIRANO in its series CIRANO Working Papers with number 96s-17.

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    Date of creation: 01 May 1996
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    Handle: RePEc:cir:cirwor:96s-17

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    Keywords: Numerical Methods; American Options; Barrier Options; Lookback Options; Criteria for Comparison; Méthodes numériques; options américaines; options avec barrières; options rétroactives; critères de comparaison;

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