Enhanced Monte Carlo estimates for American option prices
Year of publication: |
1997
|
---|---|
Authors: | Broadie, Mark |
Other Persons: | Glasserman, Paul (contributor) ; Jain, Gautam (contributor) |
Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 5.1997, 1, p. 25-44
|
Subject: | Optionspreistheorie | Option pricing theory | Aktienoption | Stock option | Simulation | Theorie | Theory |
-
Monte Carlo estimation of American call options on the maximum of several stocks
Raymar, Steven B., (1997)
-
Analytic pricing of employee stock options
Cvitanić, Jakša, (2008)
-
Closed formula for options with discrete dividends and its derivatives
Veiga, Carlos, (2008)
- More ...
-
Enhanced Monte Carlo Estimates for American Option Prices
Broadie, Mark, (2011)
-
ENHANCED MONTE CARLO ESTIMATES FOR AMERICAN OPTION PRICES
Broadie, Mark, (1997)
-
A stochastic mesh method for pricing high-dimensional American options
Broadie, Mark, (2004)
- More ...