Monte Carlo valuation of American Options
David Lamper and
OFRC Working Papers Series from Oxford Financial Research Centre
We discuss the Monte-Carlo valuation of American options, using a technique due to Rogers which furnishes an upper bound. The method is illustrated and possible improvements to its accuracy are considered.
New Economics Papers: this item is included in nep-cmp and nep-rmg
References: Add references at CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Our link check indicates that this URL is bad, the error code is: 404 Not Found
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:sbs:wpsefe:2003mf01
Access Statistics for this paper
More papers in OFRC Working Papers Series from Oxford Financial Research Centre Contact information at EDIRC.
Bibliographic data for series maintained by Maxine Collett ().