A new method of valuing American options based on Brownian models
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Publication:5079101
Cites work
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- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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- Mathematics of financial markets.
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- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- Selling a stock at the ultimate maximum
- Selling at the ultimate maximum in a regime-switching model
- The pricing of options and corporate liabilities
- Valuing American options by simulation: a BSDEs approach
- Valuing American options by simulation: a simple least-squares approach
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