Monte Carlo valuation of American Options

By D. Lamper, Sam D. Howison. 2004

95 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/fc9bf52dad4b6ff60b785c2faa691d773c5b42ed

Citations in the corpus

• Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004, unknown): “Valid upper bounds based on a duality approach were recently and independently pro- posed in Haugh and Kogan (2001) and Rogers (2001) and are related to earlier work of Davis and Karatzas (1994).”