Perhaps the biggest challenge for Monte Carlo methods is the accurate and efficient pricing of options with optional early exercise: Bermudan options: can exercise at a finite number of times tj American options: can exercise at any time The challenge is to find/approximate the optimal strategy (i.e. when to exercise) and hence determine the price and Greeks. American options – p.
We develop a new approach for pricing both continuous-time and discrete-time American options which ...
Pricing American options has always been problematic due to its early exercise characteristic. As no...
International audienceThe aim of this paper is to discuss efficient algorithms for the pricing of Am...
∗This research, which was funded by a grant from the Natural Sciences and Engineering Research Counc...
Abstract. In this paper we use a Monte Carlo scheme to find the returns that an uninformed investor ...
We consider series solutions for the location of the optimal exercise boundary of an American option...
We introduce a new Monte Carlo method for constructing the exercise boundary of an American option i...
With regard to a particular derivatives instruments, the famous Black-Scholes model development on 1...
We present a novel method for the numerical pricing of American options based on Monte Carlo simulat...
In this paper we investigate the so called foresight bias that may appear in the Monte-Carlo pricing...
In contrast to the constant exercise boundary assumed by Broadie and Detemple (1996) [Broadie, M., D...
American options are financial contracts that allow exercise at any time until ex- piration. While t...
We consider series solutions for the location of the optimal exercise boundary of an American option...
The optimal-exercise policy of an American option dictates when the option should be exercised. In t...
The paper is focused on American option pricing problem. Assuming non-dividend paying American put o...
We develop a new approach for pricing both continuous-time and discrete-time American options which ...
Pricing American options has always been problematic due to its early exercise characteristic. As no...
International audienceThe aim of this paper is to discuss efficient algorithms for the pricing of Am...
∗This research, which was funded by a grant from the Natural Sciences and Engineering Research Counc...
Abstract. In this paper we use a Monte Carlo scheme to find the returns that an uninformed investor ...
We consider series solutions for the location of the optimal exercise boundary of an American option...
We introduce a new Monte Carlo method for constructing the exercise boundary of an American option i...
With regard to a particular derivatives instruments, the famous Black-Scholes model development on 1...
We present a novel method for the numerical pricing of American options based on Monte Carlo simulat...
In this paper we investigate the so called foresight bias that may appear in the Monte-Carlo pricing...
In contrast to the constant exercise boundary assumed by Broadie and Detemple (1996) [Broadie, M., D...
American options are financial contracts that allow exercise at any time until ex- piration. While t...
We consider series solutions for the location of the optimal exercise boundary of an American option...
The optimal-exercise policy of an American option dictates when the option should be exercised. In t...
The paper is focused on American option pricing problem. Assuming non-dividend paying American put o...
We develop a new approach for pricing both continuous-time and discrete-time American options which ...
Pricing American options has always been problematic due to its early exercise characteristic. As no...
International audienceThe aim of this paper is to discuss efficient algorithms for the pricing of Am...