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Sequential Monte Carlo Methods for Option Pricing

โœ Scribed by Jasra, Ajay; Del Moral, Pierre


Book ID
115501332
Publisher
Taylor and Francis Group
Year
2011
Tongue
English
Weight
435 KB
Volume
29
Category
Article
ISSN
0736-2994

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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