Pricing American-style securities using simulation

We develop a simulation algorithm for estimating the prices of American-style securities, i.e. securities with opportunities for early exercice. Our algorithm provides both point estimates and error bounds for true security price.

• Publication year

  1997

• Venue

  Journal of Economic Dynamics and Control

• Publication date

  1997-06-29

• Fields of study

  Business, Economics

• Identifiers
  DOI 10.1016/S0165-1889(97)00029-8
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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