Monte Carlo valuation of American options through computation of the optimal exercise frontier
Year of publication: |
2004
|
---|---|
Authors: | Ibáñez, Alfredo ; Zapatero, Fernando |
Published in: |
Journal of financial and quantitative analysis : JFQA. - New York, NY [u.a.] : Cambridge University Press, ISSN 0022-1090, ZDB-ID 219406-5. - Vol. 39.2004, 2, p. 253-275
|
Subject: | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation |
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