1
-
1
of
1
results (0.55 seconds)
Sort By:
-
A Bias Reduction Technique for Monte Carlo Pricing of Early Exercise Options
A Bias Reduction Technique for Monte Carlo Pricing of Early Exercise Options This presentation ... – p. 8/12 Example: Setup • 5 underlying stocks S = (S1, S2, S3, S4, S5)′ • Price a 3-year American-style ...- Authors: Ronald Mark Reesor, MATT DAVISON, Tyson Whitehead
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Modeling efficiency