✦ LIBER ✦

Additive and multiplicative duals for American option pricing

✍ Scribed by Nan Chen; Paul Glasserman

Book ID: 106235694
Publisher: Springer-Verlag
Year: 2007
Tongue: English
Weight: 345 KB
Volume: 11
Category: Article
ISSN: 0949-2984
DOI: 10.1007/s00780-006-0031-3

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Primal and Dual Pricing of Multiple Exer

Primal and Dual Pricing of Multiple Exercise Options in Continuous Time

✍ Bender, Christian 📂 Article 📅 2011 🏛 Society for Industrial and Applied Mathematics 🌐 English ⚖ 354 KB

A variance reduction technique for Ameri

A variance reduction technique for American option pricing

✍ Nicola Moreni 📂 Article 📅 2004 🏛 Elsevier Science 🌐 English ⚖ 175 KB

Multigrid for American option pricing wi

Multigrid for American option pricing with stochastic volatility

✍ Clarke, Nigel; Parrott, Kevin 📂 Article 📅 1999 🏛 Taylor and Francis Group 🌐 English ⚖ 335 KB

Nonparametric American option pricing

✍ Jamie Alcock; Trent Carmichael 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 358 KB

## Abstract A nonparametric method is introduced to accurately price American‐style contingent claims. This method uses only historical stock price data, not option price data, to generate the American option price. The accuracy of this method is tested in a controlled experimental environment unde

Kernel-based Monte Carlo simulation for

Kernel-based Monte Carlo simulation for American option pricing

✍ Gyu-Sik Han; Bo-Hyun Kim; Jaewook Lee 📂 Article 📅 2009 🏛 Elsevier Science 🌐 English ⚖ 219 KB

Computational methods for option pricing

✍ Yves Achdou, Olivier Pironneau 📂 Library 📅 2005 🏛 Society for Industrial and Applied Mathematics 🌐 English ⚖ 3 MB

Here is a book for anyone who would like to become better acquainted with the modern tools of numerical analysis for several significant computational problems arising in finance. The authors review some important aspects of finance modeling involving partial differential equations and focus on nume