Optimal Martingales and American Option Pricing
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Other versions of this item:
- Mario Cerrato & Abdollah Abbasyan, 2009. "Optimal martingales and American option pricing," Working Papers 2009_27, Business School - Economics, University of Glasgow.
- Cerrato, Mario & Abbasyan, Abdollah, 2008. "Optimal Martingales and American Option Pricing," SIRE Discussion Papers 2008-36, Scottish Institute for Research in Economics (SIRE).
References listed on IDEAS
- Barone-Adesi, Giovanni & Whaley, Robert E, 1987. " Efficient Analytic Approximation of American Option Values," Journal of Finance, American Finance Association, vol. 42(2), pages 301-320, June.
- Cerrato, Mario, 2008.
"Valuing American Derivatives by Least Squares Methods,"
SIRE Discussion Papers
2008-44, Scottish Institute for Research in Economics (SIRE).
- Mario Cerrato, 2008. "Valuing American Derivatives by Least Squares Methods," Working Papers 2008_12, Business School - Economics, University of Glasgow, revised Sep 2008.
- Philip Protter & Emmanuelle Clément & Damien Lamberton, 2002. "An analysis of a least squares regression method for American option pricing," Finance and Stochastics, Springer, vol. 6(4), pages 449-471.
- L. C. G. Rogers, 2002. "Monte Carlo valuation of American options," Mathematical Finance, Wiley Blackwell, vol. 12(3), pages 271-286.
More about this item
KeywordsAmerican options; Monte Carlo method;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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