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    MANSCI
    2006
    82views more  MANSCI 2006»
    Pricing American-Style Derivatives with European Call Options
    13 years 4 months ago
    Pricing American-Style Derivatives with European Call Options
    Download  www.ieor.berkeley.edu
    We present a new approach to pricing American-style derivatives that is applicable to any Markovian setting (i.e., not limited to geometric Brownian motion) for which European cal...
    Scott B. Laprise, Michael C. Fu, Steven I. Marcus,...
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    WSC
    2007
    147views Modeling And Simulation» more  WSC 2007»
    Monte Carlo simulation in financial engineering
    13 years 7 months ago
    Monte Carlo simulation in financial engineering
    Download  www.informs-sim.org
    This paper reviews the use of Monte Carlo simulation in the field of financial engineering. It focuses on several interesting topics and introduces their recent development, inc...
    Nan Chen, L. Jeff Hong
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