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| Author: | Fu, M. C. (et al.) |
| Title: | Pricing American options: a comparison of Monte Carlo simulation approaches |
| Journal: | Journal of Computational Finance
2001 : SPRING, VOL. 4:3, p. 39-88 |
| Index terms: | OPTIONS OPTION VALUATION OPTION PRICES FINANCIAL MARKETS |
| Language: | eng |
| Abstract: | A number of Monte Carlo simulation-based approaches have been proposed within the past decade to address the problem of pricing American-style derivatives. Some of these algorithms are tested empirically on a common set of problems in order to be able to assess the strengths and weaknesses of each approach as a function of the problem characteristics. |
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