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View all- Ehrlichman SHenderson SNicol DFujimoto R(2006)American options from MARSProceedings of the 38th conference on Winter simulation10.5555/1218112.1218246(719-726)Online publication date: 3-Dec-2006
In this paper, we study the lookback option of the American style suggested in Dai (Journal of Computational Finance 4(2):63---68, 2000), and Dai and Kwok (SIAM Journal on Applied Mathematics 66(1):206---227, 2005) under stochastic volatility. By the ...
We construct a stochastic control model of a portfolio in which the investor may invest in stock, call options on the stock, or risk free bonds. He may also borrow funds. We assume that the investor is attempting to maximize expected utility of total ...
We develop a modified Edgeworth binomial model with higher moment consideration for pricing American Asian options. With lognormal underlying distribution for benchmark comparison, our algorithm is as precise as that of Chalasani et al. [P. Chalasani, ...
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