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Pricing and hedging American-style options: a simple simulation-based approach
16 references·3 citing·30 second hop
Pricing and hedging American-style options: a simple simulation-based approach (2010)Pricing and hedging American-style option…Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Primal-Dual Simulation Algori…Convergence of the Least Squares Monte Carlo Approach to American Option Valuation (2004)Convergence of the Least Squa…Assessing the Least Squares Monte-Carlo Approach to American Option Valuation (2004)Assessing the Least Squares M…A stochastic mesh method for pricing high-dimensional American options (2004)A stochastic mesh method for …Valuing American Options in a Path Simulation Model (2002)Valuing American Options in a…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…A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market model (2000)A simple approach to the pric…PRICING AND HEDGING AMERICAN OPTIONS: A RECURSIVE INTEGRATION METHOD (1999)PRICING AND HEDGING AMERICAN …Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives (1999)Optimal stopping of Markov pr…Valuation of the early-exercise price for options using simulations and nonparametric regression (1996)Valuation of the early-exerci…The Binomial Model and the Greeks (1994)The Binomial Model and the Gr…Jump Diffusion Option Valuation in Discrete Time (1993)Jump Diffusion Option Valuati…Multinomial Approximating Models for Options with k State Variables (1991)Multinomial Approximating Mod…Option pricing: A simplified approach (1979)Option pricing: A simplified …An improved least squares Monte Carlo valuation method based on heteroscedasticity (2017)An improved least squares Mon…Value function approximation or stopping time approximation: a comparison of two recent numerical methods for American option pricing using simulation and regression (2014)Value function approximation …Valuation of stock loans with jump risk (2014)Valuation of stock loans with…Numerical Methods in Economics (1998)Optimal Portfolio Choice and the Valuation of Illiquid Securities (2001)Monte Carlo Methods in Financial Engineering (2003)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)Pricing Options under Generalized GARCH and Stochastic Volatility Processes (1999)Option to acquire or divest a joint venture (2000)Resource relatedness, redeployability, and firm value (2013)Pricing American-style securities using simulation (1997)Regression methods for pricing complex American-style options (2001)A Monte Carlo Method for Optimal Portfolios (2003)A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS (2005)OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS (2008)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)Pricing American Options: A Duality Approach (2004)Option pricing when underlying stock returns are discontinuous (1976)Closing the GARCH gap: Continuous time GARCH modeling (1996)A Jump-Diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities (1997)Robust numerical methods for contingent claims under jump diffusion processes (2004)Theory of Rational Option Pricing (1973)New frontiers for arch models (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Theory of rational option pricing (2005)Options: A Monte Carlo approach (1977)Information Relaxations and Duality in Stochastic Dynamic Programs (2010)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)
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References

  • 1979Option pricing: A simplified approach6,103 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 2002Monte Carlo valuation of American options554 cited
  • 1996Valuation of the early-exercise price for options using simulations and nonparametric regression517 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
  • 1999Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives326 cited
  • 1993Jump Diffusion Option Valuation in Discrete Time320 cited
  • 1991Multinomial Approximating Models for Options with k State Variables283 cited
  • 2002Valuing American Options in a Path Simulation Model279 cited
  • 2004Convergence of the Least Squares Monte Carlo Approach to American Option Valuation183 cited
  • 2000A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market model156 cited
  • 2004Assessing the Least Squares Monte-Carlo Approach to American Option Valuation121 cited

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  • 1999PRICING AND HEDGING AMERICAN OPTIONS: A RECURSIVE INTEGRATION METHOD86 cited
  • 1994The Binomial Model and the Greeks76 cited
  • Cited by

    • 2014Valuation of stock loans with jump risk36 cited
    • 2017An improved least squares Monte Carlo valuation method based on heteroscedasticity28 cited
    • 2014Value function approximation or stopping time approximation: a comparison of two recent numerical methods for American option pricing using simulation and regression27 cited