A new method of valuing American options based on Brownian models
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Cites work
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- Martingale methods in financial modelling.
- Mathematics of financial markets.
- Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods
- On backward stochastic differential equations approach to valuation of American options
- Optimal buying at the global minimum in a regime switching model
- 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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