Pricing a Path-dependent American Option by Monte Carlo Simulation
Year of publication: |
2004-08-11
|
---|---|
Authors: | Kijima, Masaaki ; Fujiwara, Hajime |
Institutions: | Society for Computational Economics - SCE |
Subject: | Anytime Bermudan option | Malliavin Calculus |
Series: | |
---|---|
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Computing in Economics and Finance 2004 Number 293 |
Classification: | G13 - Contingent Pricing; Futures Pricing ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis |
Source: |
-
Bismut-Elworthy-Li formula for subordinated Brownian motion applied to hedging financial derivatives
Kateregga, M., (2017)
-
Bismut-Elworthy-Li formula for subordinated Brownian motion applied to hedging financial derivatives
Kateregga, M., (2017)
-
Pricing and Hedging of Asian Options: Quasi-Explicit Solutions via Malliavin Calculus
Yang, Zhaojun, (2009)
- More ...
-
Estimation of the local volatility of discount bonds using market quotes for coupon-bond options
Fujiwara, Hajime, (2009)
-
Pricing of path-dependent American options by Monte Carlo simulation
Fujiwara, Hajime, (2007)
-
Pricing of path-dependent American options by Monte Carlo simulation
Fujiwara, Hajime, (2007)
- More ...