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Monte Carlo valuation of American Options

David Lamper and Sam Howison

OFRC Working Papers Series from Oxford Financial Research Centre

Abstract: 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
Date: 2003
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