Grant, Dwight; Vora, Gautam; Weeks, David - In: Management Science 43 (1997) 11, pp. 1589-1602
Monte Carlo simulation has been used to value options since Boyle's seminal paper. Monte Carlo simulation, however, has not been used to its fullest extent for option valuation because of the belief that the method is not feasible for American-style options. This paper demonstrates how to...