2 search results - page 1 / 1 » The valuation of multidimensional American real options usin... |
COR
2008
13 years 4 months ago
2008
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 ...
WSC
2004
13 years 6 months ago
2004
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...