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Monte Carlo valuation of American Options

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Author Info
David Lamper
Sam Howison
Abstract

We 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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Paper provided by Oxford Financial Research Centre in its series OFRC Working Papers Series with number 2003mf01.

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Date of creation: 2003
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Handle: RePEc:sbs:wpsefe:2003mf01

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