haku: @indexterm OPTION VALUATION / yhteensä: 37
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| Tekijä: | Fu, M. C. (et al.) |
| Otsikko: | Pricing American options: a comparison of Monte Carlo simulation approaches |
| Lehti: | Journal of Computational Finance
2001 : SPRING, VOL. 4:3, p. 39-88 |
| Asiasana: | OPTIONS OPTION VALUATION OPTION PRICES FINANCIAL MARKETS |
| Kieli: | eng |
| Tiivistelmä: | 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. |
SCIMA