Convergence and Biases of Monte Carlo estimates of American option prices using a parametric exercise rule

Journal of Economic Dynamics and Control

Volumn 27, Issue 10, 2003, Pages 1855-1879

  García, Diego ^a  

^a DARTMOUTH COLLEGE   (United States)

Author keywords

American options; Monte Carlo simulation; Multiple state variables

Indexed keywords

EID: 0037411907     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1889(02)00086-6     Document Type: Article

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