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Valuing American Options in a Path Simulation Model
Valuing American Options in a Path Simulation Model The goal of this paper is to dispel the prevailing belief that American-style options cannot be valued efficiently in a simulation model by ...- 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
Valuing American Options in a Path Simulation Model This paper presents an algorithm for valuing American options in a path simulation model. It demonstrates the accuracy by an example involving ...- Authors: James A Tilley
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Dynamic simulation models
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Options And Futures - A Teaching Session
Options And Futures - A Teaching Session This session from the 1984 SOA Atlanta Meeting is a teaching session of options and futures and discusses the basics of options and futures, hedging ...- Authors: David P Jacob, Arthur L Rebell, Richard L Sega, Alan W Sibigtroth, James A Tilley
- Date: Apr 1984
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Derivatives