Foresight Bias and Suboptimality Correction in Monte—Carlo Pricing of Options with Early Exercise

DOI10.1007/978-3-540-71992-2_107zbMath1308.91186OpenAlexW41225688MaRDI QIDQ3618166

Christian Fries

Publication date: 31 March 2009

Published in: Progress in Industrial Mathematics at ECMI 2006 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-71992-2_107

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

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