Path-Dependent Options: Extending the Monte Carlo Simulation Approach
From MaRDI portal
Publication:4392522
DOI10.1287/mnsc.43.11.1589zbMath0902.90006OpenAlexW2108201397MaRDI QIDQ4392522
No author found.
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
Related Items
Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory ⋮ Monte Carlo methods for security pricing ⋮ A deep real options policy for sequential service region design and timing ⋮ Pricing options with American-style average reset features ⋮ Pricing Bermudan options using low-discrepancy mesh methods ⋮ Métodos de apreçamento de opções americanas e determinação da curva de gatilho através da simulação de Monte Carlo ⋮ Multi-asset scenario building for trend-following trading strategies ⋮ A variance reduction technique based on integral representations ⋮ Valuation of the Reset Options Embedded in Some Equity-Linked Insurance Products ⋮ Pricing American Asian options with higher moments in the underlying distribution ⋮ Unnamed Item ⋮ American step options ⋮ Pricing American options by exercise rate optimization ⋮ On convergence of a semi-analytical method for American option pricing
