SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The Valuation of Real Options with the Least Squares Monte Carlo Simulation Method
16 references·0 citing·24 second hop
The Valuation of Real Options with the Least Squares Monte Carlo Simulation Method (2006)The Valuation of Real Options with the Le…Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Primal-Dual Simulation Algori…Pricing American Options: A Duality Approach (2004)Pricing American Options: A D…A stochastic mesh method for pricing high-dimensional American options (2004)A stochastic mesh method for …Monte Carlo valuation of American options (2002)Monte Carlo valuation of Amer…An analysis of a least squares regression method for American option pricing (2002)An analysis of a least square…Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Regression methods for pricing complex American-style options (2001)Regression methods for pricin…Pricing American-style securities using simulation (1997)Pricing American-style securi…Monte Carlo methods for security pricing (1997)Monte Carlo methods for secur…Valuation of the early-exercise price for options using simulations and nonparametric regression (1996)Valuation of the early-exerci…American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods (1996)American Option Valuation: Ne…Numerical Evaluation of Multivariate Contingent Claims (1989)Numerical Evaluation of Multi…Two-State Option Pricing (1979)Two-State Option PricingThe Valuation of American Put Options (1977)The Valuation of American Put…THE VALUATION OF AMERICAN PUT OPTIONS (1977)THE VALUATION OF AMERICAN PUT…Options: A Monte Carlo approach (1977)Options: A Monte Carlo approa…The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Efficient Analytic Approximation of American Option Values (1987)Randomization and the American Put (1998)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2001)Simulation Modeling and Analysis. (1983)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Measuring Market Risk (2005)A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code (2000)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Theory of Rational Option Pricing (1973)Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)THE GARCH OPTION PRICING MODEL (1995)Theory of rational option pricing (2005)A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY (1972)Variational inequalities and the pricing of American options (1990)ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)Martingales and arbitrage in multiperiod securities markets (1979)Option Prices as Predictors of Equilibrium Stock Prices (1982)Urban Land Prices Under Uncertainty (1985)New frontiers for arch models (2002)
this work references cited by second hop

References

  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 1977Options: A Monte Carlo approach1,341 cited
  • 1997Monte Carlo methods for security pricing856 cited
  • 1997Pricing American-style securities using simulation614 cited
  • 2001Regression methods for pricing complex American-style options612 cited
  • 2002Monte Carlo valuation of American options554 cited
  • 1996American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods547 cited
  • 1996Valuation of the early-exercise price for options using simulations and nonparametric regression517 cited
  • 1977THE VALUATION OF AMERICAN PUT OPTIONS504 cited
  • 1979Two-State Option Pricing470 cited
  • 2004Pricing American Options: A Duality Approach452 cited
  • 1977The Valuation of American Put Options443 cited
  • 2004Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options420 cited
  • 2004A stochastic mesh method for pricing high-dimensional American options356 cited
  • 2002An analysis of a least squares regression method for American option pricing342 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

1989
Numerical Evaluation of Multivariate Contingent Claims
335 cited

Cited by

No citing works inside the corpus for this window.