"Using forward Monte-Carlo simulation for the valuation of American barrier ..."

Daniel Wei-Chung Miao, Yung-Hsin Lee, Jr-Yan Wang (2018)

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DOI: 10.1007/S10479-017-2639-4

access: closed

type: Journal Article

metadata version: 2020-08-13

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Daniel Wei-Chung Miao, Yung-Hsin Lee, Jr-Yan Wang:
Using forward Monte-Carlo simulation for the valuation of American barrier options. Ann. Oper. Res. 264(1-2): 339-366 (2018)

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