This study proposes a forward Monte Carlo method for the pricing of American options. The main advantage of this method is that it does not use backward induction as required by other methods. Instead, the proposed approach relies on a wise determination about whether a simulated stock price has ent
A quasi-radial basis functions method for American options pricing
โ Scribed by Y.C. Hon
- Publisher
- Elsevier Science
- Year
- 2002
- Tongue
- English
- Weight
- 907 KB
- Volume
- 43
- Category
- Article
- ISSN
- 0898-1221
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