Pricing and hedging American-style options: a simple simulation-based approach
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Publication:5411508
DOI10.21314/JCF.2010.220zbMath1284.91576OpenAlexW3121149846MaRDI QIDQ5411508
Publication date: 23 April 2014
Published in: The Journal of Computational Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.21314/jcf.2010.220
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)
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