2 search results - page 1 / 1 » Alternative Randomization for Valuing American Options |
APJOR
2010
13 years 3 months ago
2010
This paper provides a fast and accurate randomization algorithm for valuing American puts and calls on dividend-paying stocks and their early exercise boundaries. The primal focus...
ALGORITHMICA
1999
13 years 4 months ago
1999
Consider an on-line player who needs some equipment (e.g., a computer) for an initially unknown number of periods. At the start of each period it is determined whether the player w...