Pricing of path-dependent American options by Monte Carlo simulation
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- Duffie, Darrell & Huang, Ming, 1996. " Swap Rates and Credit Quality," Journal of Finance, American Finance Association, vol. 51(3), pages 921-49, July.
- Bruno Bouchard & Ivar Ekeland & Nizar Touzi, 2004. "On the Malliavin approach to Monte Carlo approximation of conditional expectations," Finance and Stochastics, Springer, vol. 8(1), pages 45-71, January.
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- Bally Vlad & Caramellino Lucia & Zanette Antonino, 2005. "Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach," Monte Carlo Methods and Applications, De Gruyter, vol. 11(2), pages 97-133, June.
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- L. C. G. Rogers, 2002. "Monte Carlo valuation of American options," Mathematical Finance, Wiley Blackwell, vol. 12(3), pages 271-286.
- repec:dau:papers:123456789/1802 is not listed on IDEAS
- Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," University of California at Los Angeles, Anderson Graduate School of Management qt43n1k4jb, Anderson Graduate School of Management, UCLA.
- Hayne E. Leland., 1994.
"Corporate Debt Value, Bond Covenants, and Optimal Capital Structure,"
Research Program in Finance Working Papers
RPF-233, University of California at Berkeley.
- Leland, Hayne E, 1994. " Corporate Debt Value, Bond Covenants, and Optimal Capital Structure," Journal of Finance, American Finance Association, vol. 49(4), pages 1213-52, September.
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