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Valuing American Options in a Path Simulation Model
Valuing American Options in a Path Simulation Model This paper presents an algorithm for valuing ... models can be useful in valuing a broker-dealer's derivative book and analyzing the asset-liability ...- Authors: James A Tilley
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Dynamic simulation models