Pricing American-Style Securities Using Simulation
We develop a simulation algorithm for estimating the prices of American-style securities, i.e. securities with opportunities for early exercice. Our algorithm provides both point estimates and error bounds for true security price.
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|Date of creation:||1996|
|Date of revision:|
|Contact details of provider:|| Postal: U.S.A.; COLUMBIA UNIVERSITY, GRADUATE SCHOOL OF BUSINESS, PAINE WEBBER , New York, NY 10027 U.S.A|
Phone: (212) 854-5553
Web page: http://www.gsb.columbia.edu/
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