Approximating free exercise boundaries for American-style options using simulation and optimization

Monte Carlo simulation can be readily applied to asset pricing problems with multiple state variables and possible path dependencies because convergence of Monte Carlo methods is independent of the number of state variables. This paper applies Monte Carlo simulation to the problem of determining fre...

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Hauptverfasser:	Cobb, Barry R., Charnes, John M.
Format:	Tagungsbericht
Sprache:	eng
Schlagworte:	Applied computing Applied computing > Enterprise computing Applied computing > Enterprise computing > Business process management Applied computing > Law, social and behavioral sciences Applied computing > Law, social and behavioral sciences > Economics Applied sciences Computer science control theory systems Exact sciences and technology Mathematics of computing Mathematics of computing > Probability and statistics Mathematics of computing > Probability and statistics > Probabilistic reasoning algorithms Mathematics of computing > Probability and statistics > Probabilistic reasoning algorithms > Markov-chain Monte Carlo methods Simulation Software
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