In the last 15 years or so, tremendous efforts and progress have been made in valuing interest rate sensitive derivative securities. Broadly speaking, two different approaches have been used. Some authors have modeled interest rates in an equilibrium setting and derived bond prices and other interes
✦ LIBER ✦
A dynamic programming approach to price installment options
✍ Scribed by Hatem Ben-Ameur; Michèle Breton; Pascal François
- Book ID
- 108116833
- Publisher
- Elsevier Science
- Year
- 2006
- Tongue
- English
- Weight
- 373 KB
- Volume
- 169
- Category
- Article
- ISSN
- 0377-2217
No coin nor oath required. For personal study only.
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## Abstract In this paper we develop a simulation‐based approach to stochastic dynamic programming. To solve the Bellman equation we construct Monte Carlo estimates of __Q__‐values. Our method is scalable to high dimensions and works in both continuous and discrete state and decision spaces while a