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Path-Dependent Options: Extending the Monte Carlo Simulation Approach
15 references·11 citing·35 second hop
Path-Dependent Options: Extending the Monte Carlo Simulation Approach (1997)Path-Dependent Options: Extending the Mon…Simulation and the Monte Carlo Method (2016)Simulation and the Monte Carl…Theory of rational option pricing (2005)Theory of rational option pri…PRICING OF AMERICAN PATH‐DEPENDENT CONTINGENT CLAIMS (1996)PRICING OF AMERICAN PATH‐DEPE…Numerical Valuation of High Dimensional Multivariate American Securities (1995)Numerical Valuation of High D…CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS1 (1994)CONVERGENCE OF AMERICAN OPTIO…Efficient Procedures for Valuing European and American Path-Dependent Options (1993)Efficient Procedures for Valu…BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)BESSEL PROCESSES, ASIAN OPTIO…The Accelerated Binomial Option Pricing Model (1991)The Accelerated Binomial Opti…A Quick Algorithm for Pricing European Average Options (1991)A Quick Algorithm for Pricing…Elements of Simulation (1984)Elements of SimulationOperations Research -- An Introduction (1980)Operations Research -- An Int…Option pricing: A simplified approach (1979)Option pricing: A simplified …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)The Pricing of Options and Co…Simulation-based pricing of convertible bonds (2007)Simulation-based pricing of c…Real options valuation (2007)Real options valuationFinancial Modeling with Crystal Ball and Excel (2007)Financial Modeling with Cryst…Valuing Real Capital Investments Using The Least-Squares Monte Carlo Method (2006)Valuing Real Capital Investme…Real options and the value of generation capacity in the German electricity market (2005)Real options and the value of…Optimal Exercise Policies and Simulation-Based Valuation for American-Asian Options (2003)Optimal Exercise Policies and…Applying Operations Research Techniques to Financial Markets (2003)Applying Operations Research …Using simulation for option pricing (2002)Using simulation for option p…A variance reduction technique based on integral representations (2002)A variance reduction techniqu…A Dynamic Programming Procedure for Pricing American-Style Asian Options (2002)A Dynamic Programming Procedu…Valuing Finite-Lived Options as Perpetual (1996)Valuing Finite-Lived Options …EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)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)Monte Carlo methods for security pricing (1997)A Theory of the Term Structure of Interest Rates (1985)The value of an Asian option (1995)Continuous Martingales and Brownian Motion (1999)Order Flow, Transaction Clock, and Normality of Asset Returns (2000)Mathematical Methods for Financial Markets (2010)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)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)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Multigrid for American option pricing with stochastic volatility (1999)Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives (1999)Optimal Portfolio Choice and the Valuation of Illiquid Securities (2001)Brownian Motion and Stochastic Calculus (2007)The valuation of options for alternative stochastic processes (1976)Pricing European average rate currency options (1992)A new PDE approach for pricing arithmetic average Asian options (2001)ON HOW TO PRIORITIZE DESIGN REQUIREMENTS DURING THE QFD PLANNING PROCESS (1993)The total cost of logistics in supplier selection, under conditions of multiple sourcing, multiple criteria and capacity constraint (2001)Application of AHP Technique (2009)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Automobile Prices in Market Equilibrium (1995)Estimation of small failure probabilities in high dimensions by subset simulation (2001)Latin hypercube sampling and the propagation of uncertainty in analyses of complex systems (2003)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 2016Simulation and the Monte Carlo Method3,356 cited
  • 1980Operations Research -- An Introduction1,560 cited
  • 1977Options: A Monte Carlo approach1,341 cited
  • 1993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES557 cited
  • 1977THE VALUATION OF AMERICAN PUT OPTIONS504 cited
  • 1991A Quick Algorithm for Pricing European Average Options424 cited
  • 1995Numerical Valuation of High Dimensional Multivariate American Securities325 cited
  • 1993Efficient Procedures for Valuing European and American Path-Dependent Options277 cited
  • 1984Elements of Simulation262 cited
  • 1996PRICING OF AMERICAN PATH‐DEPENDENT CONTINGENT CLAIMS173 cited
  • 1994CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS1118 cited
  • 1991The Accelerated Binomial Option Pricing Model117 cited

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  • 2006Valuing Real Capital Investments Using The Least-Squares Monte Carlo Method

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72 cited
  • 2007Simulation-based pricing of convertible bonds70 cited
  • 2007Financial Modeling with Crystal Ball and Excel52 cited
  • 2002A Dynamic Programming Procedure for Pricing American-Style Asian Options42 cited
  • 2005Real options and the value of generation capacity in the German electricity market37 cited
  • 2003Applying Operations Research Techniques to Financial Markets35 cited
  • 2002Using simulation for option pricing34 cited
  • 2007Real options valuation32 cited
  • 2003Optimal Exercise Policies and Simulation-Based Valuation for American-Asian Options31 cited
  • 1996Valuing Finite-Lived Options as Perpetual28 cited
  • 2002A variance reduction technique based on integral representations26 cited