1985
DOI: 10.2307/2330677
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Valuation by Approximation: A Comparison of Alternative Option Valuation Techniques

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Cited by 173 publications
(102 citation statements)
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“…These problems are of great interest to academicians in the finance literature and often used to show the accuracy of a given numerical scheme [5,8,9]. …”
Section: Computational Resultsmentioning
confidence: 99%
“…These problems are of great interest to academicians in the finance literature and often used to show the accuracy of a given numerical scheme [5,8,9]. …”
Section: Computational Resultsmentioning
confidence: 99%
“…However, many literatures found that simulation such as Monte Carlo simulation, cannot determine the price of the American option efficiently (see Dyer and Jacob [6], Geske and Shastri [7], Tiley [8]). Simulation requires large amounts of computer processing time and execution time.…”
Section: Modified Path Simulation Methods For Asian American Optionmentioning
confidence: 99%
“…Por su parte, Bjork, Myhrman Persson (1987) y Björk (2004 imponen un tiempo de paro para no generar soluciones de control degeneradas. Dos de los temas distintivos, en el marco de los modelos anteriores, son la obtención de precios de activos financieros y la valuación de productos derivados, cuya literatura es muy vasta y variada; considérense al respecto los artícu-los, algunos seminales y otros de referencia, de Black y Scholes (1973); Merton (1973); Cox y Ross (1976) ;Cox, Ingersoll y Ross (1985a;1985b); Geske y Shastri (1985); Ho y Lee (1986) ;Hull y White (1987;; Detemple y Tian (2002); Venegas-Martínez (2006; ;Sierra (2007); 2 Ángeles-Castro y Venegas-Martínez (2010), y Venegas-Martínez y Cruz-Ake (2010), entre otros. Una característica común, tal vez una limitación, que guardan estas investigaciones es que consideran una temporalidad, infinita o finita, determinista para la valuación de derivados.…”
Section: Introductionunclassified