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Options: A Monte Carlo approach

โœ Scribed by Phelim P. Boyle


Book ID
116126471
Publisher
Elsevier Science
Year
1977
Tongue
English
Weight
945 KB
Volume
4
Category
Article
ISSN
0304-405X

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A Forward Monte Carlo Method for America
โœ DANIEL WEI-CHUNG MIAO; YUNG-HSIN LEE ๐Ÿ“‚ Article ๐Ÿ“… 2012 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 728 KB

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