Monte Carlo valuation of American options through computation of the optimal exercise frontier

Journal of Financial and Quantitative Analysis

Volumn 39, Issue 2, 2004, Pages 253-275

  Ibáñez, Alfredo ^a   Zapatero, Fernando ^b  

^a INSTITUTO TECNOLÓGICO AUTÓNOMO DE MÉXICO   (Mexico)

^b UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 2442614937     PISSN: 00221090     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0022109000003069     Document Type: Article

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