English, Article, Journal or magazine article edition: Valuing American Style Options by Least Squares Methods Mario Cerrato; Kan Kwok Cheung

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Bookmark: http://trove.nla.gov.au/version/34506
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Valuing American Style Options by Least Squares Methods
Author
  • Mario Cerrato
  • Kan Kwok Cheung
Physical Description
  • preprint
Notes
  • We investigate the finite sample performance of some recent Monte Carlo estimators under different market scenarios. We find that the accuracy and efficiency of these estimators are remarkable, even when more exotic financial instruments are considered. Finally, we extend the Glasserman and Yu (2004b) methodology to price Asian Bermudan options and basket options
  • RePEc:mmf:mmfc06:49
Language
  • English
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