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Monte Carlo Estimation of American Call Options on the Maximum of Several Stocks

✍ Scribed by Raymar, Steven B; Zwecher, Michael J


Book ID
121198141
Publisher
Institutional Investor
Year
1997
Tongue
English
Weight
804 KB
Volume
5
Category
Article
ISSN
1074-1240

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To obtain the likelihood of a non-Gaussian state-space model, Durbin and Koopman (1997, Biometrika, 84, 669 -684) ΓΏrst calculate the likelihood under an approximating linear Gaussian model and then use Monte Carlo methods to estimate the necessary adjustment factor. We show that Durbin and Koopman's