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Enhanced Monte Carlo Estimates for American Option Prices
12 references·15 citing·33 second hop
Enhanced Monte Carlo Estimates for American Option Prices (1997)Enhanced Monte Carlo Estimates for Americ…A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code (2000)A Comparison of Three Methods…Pricing American-style securities using simulation (1997)Pricing American-style securi…Numerical Valuation of High Dimensional Multivariate American Securities (1995)Numerical Valuation of High D…The journal of financial economics (1993)The journal of financial econ…Options, Futures, and Other Derivative Securities. (1990)Options, Futures, and Other D…Optimization Problems in the Theory of Continuous Trading (1989)Optimization Problems in the …Numerical Evaluation of Multivariate Contingent Claims (1989)Numerical Evaluation of Multi…Options on the Maximum or the Minimum of Several Assets (1987)Options on the Maximum or the…The American Put Option Valued Analytically (1984)The American Put Option Value…Option pricing: A simplified approach (1979)Option pricing: A simplified …A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code (1979)A Comparison of Three Methods…Options: A Monte Carlo approach (1977)Options: A Monte Carlo approa…GARCH Option Valuation:Theory and Evidence (2013)GARCH Option Valuation:Theory…On improving the least squares Monte Carlo option valuation method (2008)On improving the least square…Dynamic Programming Approach for Valuing Options in the GARCH Model (2008)Dynamic Programming Approach …Simulation-based pricing of convertible bonds (2007)Simulation-based pricing of c…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 …Pricing American Options: A Duality Approach (2002)Pricing American Options: A D…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…Optimal Portfolio Choice and the Valuation of Illiquid Securities (2001)Optimal Portfolio Choice and …On the Robustness of Least-Squares Monte Carlo (Lsm) for Pricing American Derivatives (2001)On the Robustness of Least-Sq…Simulation and Numerical Methods in Real Options Valuation (2000)Simulation and Numerical Meth…Pricing American Options by Simulation Using a Stochastic Mesh with Optimized Weights (2000)Pricing American Options by S…Simulation Modeling and Analysis. (1983)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)LIBOR and swap market models and measures (1997)Monte Carlo methods for security pricing (1997)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Evaluating Natural Resource Investments (1985)Theory of Financial Decision Making. (1988)Theory of rational option pricing (2005)Introductory Econometrics for Finance (2008)Random Balance Experimentation (1959)The Application of Random Balance Designs (1959)The art of simulation (1964)Large Sample Properties of Simulations Using Latin Hypercube Sampling (1987)Factorial Sampling Plans for Preliminary Computational Experiments (1991)Latin hypercube sampling and the propagation of uncertainty in analyses of complex systems (2003)Martingales and arbitrage in multiperiod securities markets (1979)Learning to trade via direct reinforcement (2001)Optimization under uncertainty: state-of-the-art and opportunities (2003)Irreversibility, Uncertainty, and Investment (1990)Noise Dressing of Financial Correlation Matrices (1999)A Jump-Diffusion Model for Option Pricing (2002)INSTRUMENTAL STAKEHOLDER THEORY: A SYNTHESIS OF ETHICS AND ECONOMICS (1995)THE IMPACT OF HUMAN RESOURCE MANAGEMENT PRACTICES ON PERCEPTIONS OF ORGANIZATIONAL PERFORMANCE. (1996)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)New frontiers for arch models (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Martingales and stochastic integrals in the theory of continuous trading (1981)Efficient Analytic Approximation of American Option Values (1987)Arbitrage Theory in Continuous Time (1998)Importance measures in global sensitivity analysis of nonlinear models (1996)Adaptive sparse polynomial chaos expansion based on least angle regression (2010)
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References

  • 2000A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code8,270 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1979A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code3,766 cited
  • 1993The journal of financial economics2,614 cited
  • 1977Options: A Monte Carlo approach1,367 cited
  • 1990Options, Futures, and Other Derivative Securities.1,244 cited
  • 1984The American Put Option Valued Analytically728 cited
  • 1997Pricing American-style securities using simulation614 cited
  • 1987Options on the Maximum or the Minimum of Several Assets405 cited
  • 1989Numerical Evaluation of Multivariate Contingent Claims335 cited
  • 1995Numerical Valuation of High Dimensional Multivariate American Securities325 cited
  • 1989Optimization Problems in the Theory of Continuous Trading284 cited

Cited by

  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,228 cited
  • 2001Regression methods for pricing complex American-style options612 cited
  • 2002Monte Carlo valuation of American options

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554 cited
  • 2004Pricing American Options: A Duality Approach459 cited
  • 2004A stochastic mesh method for pricing high-dimensional American options356 cited
  • 2002An analysis of a least squares regression method for American option pricing344 cited
  • 2001Optimal Portfolio Choice and the Valuation of Illiquid Securities320 cited
  • 2007Simulation-based pricing of convertible bonds70 cited
  • 2013GARCH Option Valuation:Theory and Evidence51 cited
  • 2000Pricing American Options by Simulation Using a Stochastic Mesh with Optimized Weights49 cited
  • 2002Pricing American Options: A Duality Approach44 cited
  • 2001On the Robustness of Least-Squares Monte Carlo (Lsm) for Pricing American Derivatives44 cited
  • 2000Simulation and Numerical Methods in Real Options Valuation40 cited
  • 2008Dynamic Programming Approach for Valuing Options in the GARCH Model37 cited
  • 2008On improving the least squares Monte Carlo option valuation method37 cited