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Assessing the Least Squares Monte-Carlo Approach to American Option Valuation
16 references·14 citing·32 second hop
Assessing the Least Squares Monte-Carlo Approach to American Option Valuation (2004)Assessing the Least Squares Monte-Carlo A…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …The Econometrics of Financial Markets (2012)The Econometrics of Financial…Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Randomization and the American Put (1998)Randomization and the America…Numerical Methods in Economics (1998)Numerical Methods in EconomicsPricing 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 Valuation of High Dimensional Multivariate American Securities (1995)Numerical Valuation of High D…Numerical Evaluation of Multivariate Contingent Claims (1989)Numerical Evaluation of Multi…A Lattice Framework for Option Pricing with Two State Variables (1988)A Lattice Framework for Optio…Options on the Maximum or the Minimum of Several Assets (1987)Options on the Maximum or the…Option pricing: A simplified approach (1979)Option pricing: A simplified …Options: A Monte Carlo approach (1977)Options: A Monte Carlo approa…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…An improved least squares Monte Carlo valuation method based on heteroscedasticity (2017)An improved least squares Mon…Overseas oil investment projects under uncertainty: How to make informed decisions? (2015)Overseas oil investment proje…Gas storage valuation using a multifactor price process (2011)Gas storage valuation using a…Pricing and hedging American-style options: a simple simulation-based approach (2010)Pricing and hedging American-…On fair pricing of emission-related derivatives (2010)On fair pricing of emission-r…Regression-based algorithms for life insurance contracts with surrender guarantees (2009)Regression-based algorithms f…An efficient implementation of a least squares Monte Carlo method for valuing American-style options (2009)An efficient implementation o…Pricing Life Insurance Contracts with Early Exercise Features (2008)Pricing Life Insurance Contra…On improving the least squares Monte Carlo option valuation method (2008)On improving the least square…Nonparametric American Option Pricing (2007)Nonparametric American Option…The Valuation of Real Options with the Least Squares Monte Carlo Simulation Method (2006)The Valuation of Real Options…Pricing American options when the underlying asset follows GARCH processes (2005)Pricing American options when…The Comovement of US and UK Stock Markets (2004)The Comovement of US and UK S…Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics (2004)Optimal Residual-Based Tests …Efficient Analytic Approximation of American Option Values (1987)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2001)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Simulation Modeling and Analysis. 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this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 1998Numerical Methods in Economics2,587 cited
  • 1977Options: A Monte Carlo approach1,341 cited
  • 1997Monte Carlo methods for security pricing856 cited
  • 1997Pricing American-style securities using simulation614 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
  • 1988A Lattice Framework for Option Pricing with Two State Variables473 cited
  • 1987Options on the Maximum or the Minimum of Several Assets405 cited
  • 1998Randomization and the American Put404 cited
  • 1989Numerical Evaluation of Multivariate Contingent Claims335 cited
  • 1995Numerical Valuation of High Dimensional Multivariate American Securities

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325 cited

Cited by

  • 2005Pricing American options when the underlying asset follows GARCH processes71 cited
  • 2009Regression-based algorithms for life insurance contracts with surrender guarantees64 cited
  • 2008Pricing Life Insurance Contracts with Early Exercise Features56 cited
  • 2004The Comovement of US and UK Stock Markets53 cited
  • 2011Gas storage valuation using a multifactor price process50 cited
  • 2010Pricing and hedging American-style options: a simple simulation-based approach42 cited
  • 2008On improving the least squares Monte Carlo option valuation method37 cited
  • 2004Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics36 cited
  • 2015Overseas oil investment projects under uncertainty: How to make informed decisions?32 cited
  • 2006The Valuation of Real Options with the Least Squares Monte Carlo Simulation Method29 cited
  • 2017An improved least squares Monte Carlo valuation method based on heteroscedasticity28 cited
  • 2007Nonparametric American Option Pricing25 cited
  • 2010On fair pricing of emission-related derivatives23 cited
  • 2009An efficient implementation of a least squares Monte Carlo method for valuing American-style options23 cited