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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