Using forward Monte-Carlo simulation for the valuation of American barrier options
type: Item
instance of: scholarly article
title: Using forward Monte-Carlo simulation for the valuation of American barrier options
zbMATH Open document ID: 1391.91162
author: Daniel Wei-Chung Miao
author: Yung-Hsin Lee
author: Jr-Yan Wang
published in: Annals of Operations Research
publication date: 2018-06-12T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 60C05
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G40
zbMATH DE Number: 6886501
zbMATH Keywords: American barrier option
zbMATH Keywords: forward Monte Carlo method
zbMATH Keywords: pseudo critical price
zbMATH Keywords: sufficient indicator
MaRDI profile type: Publication
full work available at URL: s10479-017-2639-4
OpenAlex ID: W2764000701
cites work: On improving the least squares Monte Carlo option valuation method
cites work: Monte Carlo methods for security pricing
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cites work: The valuation of American barrier options using the decomposition technique
cites work: Q4433608
cites work: CLOSED FORM VALUATION OF AMERICAN BARRIER OPTIONS
cites work: Q4450668
cites work: Valuing American Options by Simulation: A Simple Least-Squares Approach
DOI: 10.1007/S10479-017-2639-4
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description: scientific article; zbMATH DE number 6886501