Convergence and Biases of Monte Carlo estimates of American option prices using a parametric exercise rule

By Diego García. 2003

70 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/d77e9280ec748be5323e6e21152f80b30b35f4bf

Citations in the corpus

• Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004, unknown): “The payoff ht will depend on the current state and may, in general, depend on the entire history of the process until time t.”