Path-Dependent Options: Extending the Monte Carlo Simulation Approach
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DOI: 10.1287/mnsc.43.11.1589
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Cited by:
- David Heath & Eckhard Platen, 2002.
"A variance reduction technique based on integral representations,"
Quantitative Finance, Taylor & Francis Journals, vol. 2(5), pages 362-369.
- David Heath & Eckhard Platen, 2002. "A Variance Reduction Technique Based on Integral Representations," Research Paper Series 75, Quantitative Finance Research Centre, University of Technology, Sydney.
- Hatem Ben-Ameur & Michèle Breton & Pierre L'Ecuyer, 2002. "A Dynamic Programming Procedure for Pricing American-Style Asian Options," Management Science, INFORMS, vol. 48(5), pages 625-643, May.
- Rongwen Wu & Michael C. Fu, 2003. "Optimal Exercise Policies and Simulation-Based Valuation for American-Asian Options," Operations Research, INFORMS, vol. 51(1), pages 52-66, February.
- Ammann, Manuel & Kind, Axel & Wilde, Christian, 2008.
"Simulation-based pricing of convertible bonds,"
Journal of Empirical Finance, Elsevier, vol. 15(2), pages 310-331, March.
- Manuel Ammann & Axel Kind & Christian Wilde, 2005. "Simulation-Based Pricing of Convertible Bonds," Finance 0507015, University Library of Munich, Germany.
- Keng‐Hsin Lo & Kehluh Wang & Ming‐Feng Hsu, 2008. "Pricing European Asian options with skewness and kurtosis in the underlying distribution," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(6), pages 598-616, June.
- John Board & Charles Sutcliffe & William T. Ziemba, 2003. "Applying Operations Research Techniques to Financial Markets," Interfaces, INFORMS, vol. 33(2), pages 12-24, April.
- Ingo Beyna, 2013. "Interest Rate Derivatives," Lecture Notes in Economics and Mathematical Systems, Springer, edition 127, number 978-3-642-34925-6, July.
- Chung-Li Tseng & Graydon Barz, 2002. "Short-Term Generation Asset Valuation: A Real Options Approach," Operations Research, INFORMS, vol. 50(2), pages 297-310, April.
- Hlouskova, Jaroslava & Kossmeier, Stephan & Obersteiner, Michael & Schnabl, Alexander, 2005.
"Real options and the value of generation capacity in the German electricity market,"
Review of Financial Economics, Elsevier, vol. 14(3-4), pages 297-310.
- Jaroslava Hlouskova & Stephan Kossmeier & Michael Obersteiner & Alexander Schnabl, 2005. "Real options and the value of generation capacity in the German electricity market," Review of Financial Economics, John Wiley & Sons, vol. 14(3-4), pages 297-310.
- Zhongkai Liu & Tao Pang, 2016. "An efficient grid lattice algorithm for pricing American-style options," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 5(1), pages 36-55.
- Andreas Thomann, 2021. "Multi-asset scenario building for trend-following trading strategies," Annals of Operations Research, Springer, vol. 299(1), pages 293-315, April.
- Detemple, Jérôme & Laminou Abdou, Souleymane & Moraux, Franck, 2020.
"American step options,"
European Journal of Operational Research, Elsevier, vol. 282(1), pages 363-385.
- Jerôme Detemple & Souleymane Laminou Abdou & Franck Moraux, 2020. "American Step Options," Post-Print halshs-02283374, HAL.
- Ravi Kashyap, 2022. "Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory," Annals of Operations Research, Springer, vol. 315(2), pages 1175-1215, August.
- Christian Bayer & Ra'ul Tempone & Soren Wolfers, 2018. "Pricing American Options by Exercise Rate Optimization," Papers 1809.07300, arXiv.org, revised Aug 2019.
- Ravi Kashyap, 2016. "Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory," Papers 1609.01274, arXiv.org, revised Mar 2022.
- Chueh-Yung Tsao & Chao-Ching Liu, 2012. "Asian Options with Credit Risks: Pricing and Sensitivity Analysis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(S3), pages 96-115, September.
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Keywords
option valuation; contingent claims valuation; Monte Carlo simulation; Asian options; average-price options; American options; path-dependent options; derivative securities;All these keywords.
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