منابع مشابه
Volatility Time and Properties of Option Prices
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A simulation-based methodology to price American options with finite exercise opportunities has recently been introduced by Broadie and Glasserman [1995a]. This method simulates the evolution of underlying assets via random trees that branch at each of the possible earlyexercise dates. From these trees, two consistent and asymptotically unbiased price estimates, one biased high and one biased l...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2004
ISSN: 0304-4149
DOI: 10.1016/j.spa.2004.05.002