1
-
2
of
2
results (0.53 seconds)
Sort By:
-
Valuing American Options in a Path Simulation Model
equations numerically generally requires great care as well as sophistication in applied mathematical ... the estimate of the option premium. In his primary numerical example [page 512], Tilley overestimates ...- 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
-
Valuing American Options in a Path Simulation Model
Valuing American Options in a Path Simulation Model This paper presents an algorithm for valuing ... equations numerically generally requires great care as well as sophistication in applied mathematical ...- Authors: James A Tilley
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Dynamic simulation models