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Valuing American Options in a Path Simulation Model

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References

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2004Monte Carlo Valuation of American Options through Computation of the Optimal Exercise Frontier143 cited
2003

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2006The valuation of multidimensional American real options using the LSM simulation method126 cited

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1994Martingale Approach to Pricing Perpetual American Options111 cited

2005Fair valuation of participating policies with surrender options and regime switching100 cited

2006Valuing Real Capital Investments Using The Least-Squares Monte Carlo Method72 cited

2015The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks70 cited

2007Simulation-based pricing of convertible bonds70 cited