Pricing American-Style Options By Simulation
Tài liệu tham khảo
AMMANN, M., A. KIND and C. WILDE (2005): “Simulation-Based Pricing of Convertible Bonds”, Working Paper.
ANDERSEN, L. (2000): “A Simple Approach to the Pricing of Bermudan Swaptions in the Multifactor LIBOR Market Model”, Journal of Computational Finance 3, pp. 5–32.
ANDERSEN, L. and M. BROADIE (2004): “A Primal Dual Simulation Algorithm for Pricing Multi-Dimensional American Options”, Management Science 50, pp. 1222–1234.
AVRAMIDIS, A. N., T. F. COLEMAN, A. VERMA and Y. ZINCHENKO (2002): “Efficiency Improvements for Pricing American Options with a Stochastic Mesh: Parallel Implementation”, Working Paper.
BARONE-ADESI, G. and R. E. WHALEY (1987): “Efficient Analytic Approximation of American Option Values”, Journal of Finance 42, pp. 301–320.
BARRAQUAND, J. (1995): “Numerical Valuation of High Dimensional Multivariate European Securities”, Management Science 41, pp. 1882–1890.
BARRAQUAND, J. and D. MARTINEAU (1995): “Numerical Valuation of High Dimensional Multivariate American Securities”, Journal of Financial and Quantitative Analysis 30, pp. 383–405.
BOSSAERTS, P. (1989): “Simulation Estimators of Optimal Early Exercise”, Working Paper, Carnegie Mellon.
BOYLE, P., M. BROADIE and P. GLASSERMAN (1997): “Monte Carlo Methods for Security Pricing”, Journal of Economic Dynamics and Control 21, pp. 1267–1321.
BROADIE, M. and P. GLASSERMAN (1997): “Pricing American-Style Securities by Simulation”, Journal of Economic Dynamics and Control 21, pp. 1323–1352.
BROADIE, M. and P. GLASSERMAN (2004): “A Stochastic Mesh Method for Pricing High-Dimensional American Options”, Journal of Computational Science 7, pp. 35–72.
BROADIE, M., P. GLASSERMAN and G. JAIN (1997): “Enhanced Monte Carlo Estimates for American Option Prices”, Journal of Derivatives 5, pp. 25–44.
BROADIE, M., P. GLASSERMAN and Z. HA (1997): “Pricing American Options by Simulation Using a Stochastic Mesh with Optimized Weights”, in: Uryasev, S. (ed.), Probabilistic Constrained Optimization: Methodology and Applications. Kluwer Academic Publishers, Norwell, Mass.
CARRIERE, J. F. (1996): “Valuation of Early-Exercise Price of Options Using Simulations and Nonparametric Regression”, Insurance: Mathematics and Economics 19, pp. 19–30.
CLEMENT, E., D. LAMBERTON and P. PROTTER (2002): “An Analysis of a Least Squares Regression Method for American Option Pricing”, Finance and Stochastics 6, pp. 449–471.
FU, M. C., S. B. LAPRISE, D. B. MADAN, Y. SU, and R. WU (2001): “Pricing American Options: A Comparison of Monte Carlo Simulation Approaches”, Journal of Computational Finance 4, pp. 39–88.
GARCIA, D. (2003): “Convergence and Biases of Monte Carlo Estimates of American Option Prices Using a Parametric Exercise Rule”, Journal of Economic Dynamics and Control 27, pp. 1855–1879.
GESKE, R. and H. E. JOHNSON (1984): “The American Put Option Valued Analytically”, Journal of Finance 39, pp. 1511–1524.
GLASSERMAN, P. (2004): Monte Carlo Methods in Financial Engineering, New York: Springer-Verlag.
GRANT, D., G. VORA and D. WEEKS (1997): “Path-Dependant Options: Extending the Monte Carlo Simulation Approach”, Management Science 43, pp. 1589–1602.
HAUGH, M. and L. KOGAN (2004): “Pricing American Options: A Duality Approach”, Operations Research 52, pp. 258–270.
JU, N. (1998): “Pricing an American Option by Approximating Its Early Exercise Boundary as a Multipiece Exponential Function”, Review of Financial Studies 11, pp. 627–647.
KIND, A. and C. WILDE (2003): “Pricing Convertible Bonds with Monte Carlo Simulation”, Working Paper.
KLOEDEN, P. and E. PLATEN (1992): “Numerical Solution for Stochastic Differential Equations”, New York: Springer-Verlag.
LONGSTAFF, F. A., and E. S. SCHWARTZ (2001): “Valuing American Options by Simulation: Simple Least-Squares Approach”, Review of Financial Studies 14, pp. 113–147.
RAYMAR, S. and M. ZWECHER (1997): “Monte Carlo Valuation of American Call Options on the Maximum of Several Stocks”, Journal of Derivatives 5, pp. 7–20.
ROGERS, L. C. (2002): “Monte Carlo Valuation of American Options”, Mathematical Finance 12, pp. 271–286.
TILLEY, J. A. (1993): “Valuing American Options in a Path Simulation Model”, Transactions of the Society of Actuaries 45, pp. 83–104.
TSITSIKLIS, J. and B. VAN ROY (1999): “Optimal Stopping of Markov Processes: Hilbert Space Theory, Approximation Algorithms, and an Application to Pricing High Dimensional Financial Derivatives”, IEEE Transactions on Automatic Control 44, pp. 1840–1851.
TSITSIKLIS, J. and B. VAN ROY (2001): “Regression Methods for Pricing Complex American-Style Options”, IEEE Transactions on Neural Networks 12, pp. 694–703.