SCOPUS 정보 검색 플랫폼 - 논문 보기

메뉴 건너뛰기

Mathematical Finance

Volumn 12, Issue 3, 2002, Pages 271-286

Monte Carlo valuation of American options

(1) Rogers, L C G a,b

a UNIVERSITY OF BATH (United Kingdom)

b University of Bath (United Kingdom)

Author keywords

American option; Duality; Lagrangian; Martingale; Monte Carlo; Snell envelope

Indexed keywords

EID: 0036021555 PISSN: 09601627 EISSN: None Source Type: Journal
DOI: 10.1111/1467-9965.02010 Document Type: Article

Times cited : (355)

References (19)

1
- 0003203363
- American options: A comparison of numerical methods
- eds. L. C. G. Rogers and D. Talay. Cambridge, UK: Cambridge University Press
- (1997) Numerical Methods in Finance
- Ait-Sahalia, F.¹ Carr, P.²

2
- 0004004062
- Working paper, Columbia University
- (2001) A Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options
- Andersen, L.¹ Broadie, M.²

3
- 84974489693
- Numerical valuation of high dimensional multivariate American securities
- (1995) J. Financial Quant. Anal. , vol.30 , pp. 383-405
- Barraquand, J.¹ Martineau, D.²

4
- 0002403029
- Recent advances in numerical methods for pricing derivative securities
- eds. L. C. G. Rogers and D. Talay. Cambridge, UK: Cambridge University Press
- (1997) Numerical Methods in Finance
- Broadie, M.¹ Detemple, J.²

5
- 0031590025
- Pricing American-style securities using simulation
- (1997) J. Econ. Dynam. Control , vol.21 , pp. 1323-1352
- Broadie, M.¹ Glasserman, P.²

6
- 0003460978
- Working paper, Columbia University
- (1997) A Stochastic Mesh Method for Pricing High-Dimensional American Options
- Broadie, M.¹ Glasserman, P.²

7
- 0001950063
- Enhanced Monte Carlo estimates for American option prices
- (1997) J. Derivatives , vol.5 , pp. 25-44
- Broadie, M.¹ Glasserman, P.² Jain, G.³

8
- 0032334041
- Randomization and the American put
- (1998) Rev. Financial Stud. , vol.11 , pp. 597-626
- Carr, P.¹

9
- 0030516708
- Valuation of early-exercise price of options using simulations and nonparametric regression, insurance
- (1996) Math. Econ. , vol.19 , pp. 19-30
- Carriere, J.¹

10
- 0040854306
- A deterministic approach to optimal stopping, with applications
- ed. F. P. Kelly. Chichester: Wiley
- (1994) Probability, Statistics and Optimisation: A Tribute to Peter Whittle , pp. 455-466
- Davis, M.H.A.¹ Karatzas, I.²

11
- 0004217806
- Paris: Hermann
- (1980) Probabilités et Potentiel: Théorie des Martingales
- Dellacherie, C.¹ Meyer, P.-A.²

12
- 0002193806
- Pricing American options; A comparison of Monte Carlo simulation approaches
- (2001) J. Computat. Finance , vol.4 , pp. 39-88
- Fu, M.C.¹ Laprise, S.B.² Madan, D.B.³ Su, Y.⁴ Wu, R.⁵

13
- 0010425994
- Working paper, University of Bath
- (2000) Pricing a Multi-asset American Option
- Hartley, P.M.¹

14
- 0003422652
- Working paper, MIT
- (2001) Pricing American Options: A Duality Approach
- Haugh, M.¹ Kogan, L.²

15
- 0010426732
- Asian arithmetic
- (1990) Risk , vol.3 , Issue.5 , pp. 7-8
- Levy, E.¹

16
- 0035578679
- Valuing American options by simulation: A simple least-squares approach
- (2001) Rev. Financial Stud. , vol.14 , pp. 113-147
- Longstaff, F.A.¹ Schwartz, E.A.²

17
- 0002471803
- A Monte Carlo valuation of American call options on the maximum of several stocks
- (1997) J. Derivatives , vol.5 , pp. 7-23
- Raymar, S.¹ Zwecher, M.²

18
- 0003617670
- Cambridge, UK: Cambridge University Press
- (2000) Diffusions, Markov Processes and Martingales , vol.2
- Rogers, L.C.G.¹ Williams, D.²

19
- 0001433087
- Valuing American options in a path simulation model
- (1993) Trans. Soc. Actuaries , vol.45 , pp. 83-104
- Tilley, J.¹

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.