Path-Dependent Options: Extending the Monte Carlo Simulation Approach

DOI10.1287/MNSC.43.11.1589zbMATH Open0902.90006OpenAlexW2108201397MaRDI QIDQ4392522FDOQ4392522

Authors:

Publication date: 8 June 1998

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.43.11.1589

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zbMATH Keywords

Monte Carlo simulationAsian optionsoption valuationAmerican-style options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60)

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