Monte Carlo valuation of American Options
AbstractWe discuss the Monte-Carlo valuation of American options, using a technique due to Rogers which furnishes an upper bound. The method is illustrated and possible improvements to its accuracy are considered.
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Bibliographic InfoPaper provided by Oxford Financial Research Centre in its series OFRC Working Papers Series with number 2003mf01.
Date of creation: 2003
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-08-17 (All new papers)
- NEP-CMP-2003-08-17 (Computational Economics)
- NEP-RMG-2003-08-17 (Risk Management)
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