Convergence and Biases of Monte Carlo estimates of American option prices using a parametric exercise rule
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- Axel Kind, 2005. "Pricing American-Style Options By Simulation," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 19(1), pages 109-116, June.
- Ammann, Manuel & Kind, Axel & Wilde, Christian, 2008. "Simulation-based pricing of convertible bonds," Journal of Empirical Finance, Elsevier, pages 310-331.
- Song-Ping Zhu & Nhat-Tan Le & Wen-Ting Chen & Xiaoping Lu, 2015. "Pricing Parisian down-and-in options," Papers 1511.01564, arXiv.org.
- Leif Andersen & Mark Broadie, 2004. "Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options," Management Science, INFORMS, vol. 50(9), pages 1222-1234, September.
- Guarin, Alexander & Liu, Xiaoquan & Ng, Wing Lon, 2014. "Recovering default risk from CDS spreads with a nonlinear filter," Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 87-104.
- Lars Stentoft, 2013. "American option pricing using simulation with an application to the GARCH model," Chapters,in: Handbook of Research Methods and Applications in Empirical Finance, chapter 5, pages 114-147 Edward Elgar Publishing.
- Kateryna Mishchenko & Volodymyr Mishchenko & Anatoliy Malyarenko, 2007. "Adapted Downhill Simplex Method for Pricing Convertible Bonds," Papers 0710.0241, arXiv.org.
- repec:sbe:breart:v:36:y:2016:i:1:a:24027 is not listed on IDEAS
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