MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE EXERCISE OPTIONS N. Meinshausen1 and B.M. Hambly2 Abstract We discuss Monte Carlo methods for valuing options with multiple exercise features in discrete time. By extendi - Valuation of options - Document - PDFSEARCH.IO

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	MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE EXERCISE OPTIONS N. Meinshausen1 and B.M. Hambly2 Abstract We discuss Monte Carlo methods for valuing options with multiple exercise features in discrete time. By extendi Add to Reading List Document Date: 2006-04-27 11:03:47 Open Document File Size: 255,84 KB Share Result on Facebook City Oxford / / Company Xt / / Country United Kingdom / / Facility University of Oxford / Switzerland Institute / / IndustryTerm probability law / energy markets / similar product / energy derivatives / energy / / Movie At first sight / / Organization Switzerland Institute / Department of Mathematics / University of Oxford / / Person Tsitsiklis Roy / Van Roy / / SocialTag Markov processes Martingale theory Randomness Game theory Martingale Monte Carlo method Markov chain Markov decision process Stopping time Statistics

MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE EXERCISE OPTIONS N. Meinshausen1 and B.M. Hambly2 Abstract We discuss Monte Carlo methods for valuing options with multiple exercise features in discrete time. By extendiAdd to Reading List