Data/hora: 06/06/2024 08:37:05

Provedor de dados: 	31	
País: 	United States	
Título: 	Bounded Recursive Stochastic Simulation - A Simple and Efficient Method for Pricing Complex American Type Options	
Autores: 	Musshoff,   Oliver; Hirschauer,   Norbert; Palmer,   Ken.	
Data: 	2006-02-09	
Ano: 	2002	
Palavras-chave: 	Research Methods/ Statistical Methods.	
Resumo: 	This paper gives an overview of simulation based procedures, which have proved to be efficient in valuing American options and therefore real options. Many of them integrate sequential stochastic simulations in the backward recursive programming approach to determine the early-exercise frontier. They subsequently value the option by initiating a Monte-Carlo simulation from the valuation date of the option. It turns out that one approach (Grant et al., 1997) is especially simple. We are able to enhance its efficiency by stripping it of some time consuming but unnecessary simulation steps. Our simplified approach could be called "Bounded Recursive Stochastic Simulation".	
Tipo: 	Working or Discussion Paper	
Idioma: 	Inglês	
Identificador: 	19836

http://purl.umn.edu/18823	
Editor: 	AgEcon Search	
Relação: 	Humboldt University Berlin&gt;Institute for Agricultural Economics and Social Sciences&gt;Working Paper Series

Working Paper

65	
Formato: 	30

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