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    FS
    2006
    123views more  FS 2006»
    American Parisian options
    13 years 4 months ago
    American Parisian options
    Download  www.hec.unil.ch
    Using the solution of the one-sided exit problem, a procedure to price Parisian barrier options in a jump-diffusion model with two-sided exponential jumps is developed. By extendin...
    Marc Chesney, Laurent Gauthier
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    SIAMAM
    2011
    214views Software Engineering» more  SIAMAM 2011»
    American Fractional Lookback Options: Valuation and Premium Decomposition
    12 years 11 months ago
    American Fractional Lookback Options: Valuation and Premium Decomposition
    Download  www.econ.hokudai.ac.jp
    Toshikazu Kimura
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    WSC
    2004
    136views Modeling And Simulation» more  WSC 2004»
    Monte Carlo Methods for American Options
    13 years 6 months ago
    Monte Carlo Methods for American Options
    Download  www.informs-sim.org
    We review the basic properties of American options and the difficulties of applying Monte Carlo valuation to American options. Recent progress on the Least Squares Monte Carlo (LS...
    Russel E. Caflisch, Suneal Chaudhary
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    SIAMCO
    2008
    60views more  SIAMCO 2008»
    An Inverse Problem for a Parabolic Variational Inequality with an Integro-Differential Operator
    13 years 4 months ago
    An Inverse Problem for a Parabolic Variational Inequality with an Integro-Differential Operator
    Download  www.ann.jussieu.fr
    We consider the calibration of a L
    Yves Achdou
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    COR
    2008
    119views more  COR 2008»
    The valuation of multidimensional American real options using the LSM simulation method
    13 years 4 months ago
    The valuation of multidimensional American real options using the LSM simulation method
    Download  www.eco.uva.es
    In this paper we show how a multidimensional American real option may be solved using the LSM simulation method originally proposed by Longstaff and Schwartz [2001, The Review of ...
    Gonzalo Cortazar, Miguel Gravet, Jorge Urzua
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