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A Forward Monte Carlo Method for American Options Pricing

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  • Daniel Wei‐Chung Miao
  • Yung‐Hsin Lee

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  • Daniel Wei‐Chung Miao & Yung‐Hsin Lee, 2013. "A Forward Monte Carlo Method for American Options Pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(4), pages 369-395, April.
    • Handle: RePEc:wly:jfutmk:v:33:y:2013:i:4:p:369-395
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    Cited by:

    1. Daniel Wei-Chung Miao & Yung-Hsin Lee & Jr-Yan Wang, 2018. "Using forward Monte-Carlo simulation for the valuation of American barrier options," Annals of Operations Research, Springer, vol. 264(1), pages 339-366, May.
    2. Wang, Chuan-Ju & Kao, Ming-Yang, 2016. "Optimal search for parameters in Monte Carlo simulation for derivative pricing," European Journal of Operational Research, Elsevier, vol. 249(2), pages 683-690.

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