We present a new approach to pricing American-style derivatives that is applicable to any Markovian setting (i.e., not limited to geometric Brownian motion) for which European cal...
Scott B. Laprise, Michael C. Fu, Steven I. Marcus,...
Asian options are path-dependent derivatives. How to price them efficiently and accurately has been a longstanding research and practical problem. Asian options can be priced on t...
Monte Carlo simulation techniques that use function approximations have been successfully applied to approximately price multi-dimensional American options. However, for many pric...
Monte Carlo simulation can be readily applied to asset pricing problems with multiple state variables and possible path dependencies because convergence of Monte Carlo methods is ...
This paper presents a new approach to pricing Americanstyle derivatives. By approximating the value function with a piecewise linear interpolation function, the option holder'...
Scott B. Laprise, Michael C. Fu, Steven I. Marcus,...