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Valuing American Options in a Path Simulation Model
Options in a Path Simulation Model The goal of this paper is to dispel the prevailing belief that American-style ... impediment to the use of simulation models for valuing financial instruments. Discussions of this paper ...- Authors: James A Tilley
- Date: Oct 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Dynamic simulation models
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Valuing American Options in a Path Simulation Model
demonstrates the accuracy by an example involving a put option on a non-dividend-paying stock for which the exact ... exact premium could be determined. It shows how the use of simulation models can be useful in valuing a ...- Authors: James A Tilley
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Dynamic simulation models