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      A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS

      Author(s): , ,
      Publication date Created:
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      Journal: Mathematical Finance
      Publisher: Wiley-Blackwell

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          Valuing American Options by Simulation: A Simple Least-Squares Approach

          Francis A. Longstaff, Eduardo S. Schwartz (2001)
          Article 0 comments Cited 216 times – based on 0 reviews     Review now
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            Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations

            Bruno Bouchard, Nizar Touzi (2004)
            Article 0 comments Cited 95 times – based on 0 reviews     Review now
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              Reflected solutions of backward SDE's, and related obstacle problems for PDE's

              N. El-Karoui, C. Kapoudjian, E. Pardoux … (1997)
              Article 0 comments Cited 92 times – based on 0 reviews     Review now
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                Author and article information

                Journal
                Title: Mathematical Finance
                Abbreviated Title: Mathematical Finance
                Publisher: Wiley-Blackwell
                ISSN (Print): 0960-1627
                ISSN (Electronic): 1467-9965
                Publication date Created: January 2005
                Publication date (Print): January 2005
                Volume: 15
                Issue: 1
                Pages: 119-168
                Article
                DOI: 10.1111/j.0960-1627.2005.00213.x
                SO-VID: 4b64e641-781c-46be-8a84-2e344b059556
                Copyright © © 2005
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                http://doi.wiley.com/10.1002/tdm_license_1.1

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