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178
Valuing American options by simulation: A simple leastsquares approach
 Review of Financial Studies
, 2001
"... This article presents a simple yet powerful new approach for approximating the value of America11 options by simulation. The kcy to this approach is the use of least squares to estimate the conditional expected payoff to the optionholder from continuation. This makes this approach readily applicable ..."
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Cited by 517 (9 self)
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applicable in pathdependent and multifactor situations where traditional finite difference techniques cannot be used. We illustrate this technique with several realistic exatnples including valuing an option when the underlying asset follows a jumpdiffusion process and valuing an America11 swaption in a 20
A JumpDiffusion Model for Option Pricing
 Management Science
, 2002
"... Brownian motion and normal distribution have been widely used in the Black–Scholes optionpricing framework to model the return of assets. However, two puzzles emerge from many empirical investigations: the leptokurtic feature that the return distribution of assets may have a higher peak and two (as ..."
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Cited by 237 (9 self)
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diffusion model. In particular, the model is simple enough to produce analytical solutions for a variety of optionpricing problems, including call and put options, interest rate derivatives, and pathdependent options. Equilibrium analysis and a psychological interpretation of the model are also presented.
Asymptotically Optimal Importance Sampling and Stratification for Pricing PathDependent Options
 Mathematical Finance
, 1999
"... This paper develops a variance reduction technique for Monte Carlo simulations of pathdependent options driven by highdimensional Gaussian vectors. The method combines importance sampling based on a change of drift with stratified sampling along a small number of key dimensions. The change of dri ..."
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Cited by 91 (13 self)
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This paper develops a variance reduction technique for Monte Carlo simulations of pathdependent options driven by highdimensional Gaussian vectors. The method combines importance sampling based on a change of drift with stratified sampling along a small number of key dimensions. The change
Comparison results for pathdependent options
"... In this paper comparison results of convex type are established for several pathdependent options in some classes of semimartingale models. The options considered are some classes of lookback options, Asian and American options and barrier options. Comparison of the pathdependent options is based ..."
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Cited by 2 (2 self)
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In this paper comparison results of convex type are established for several pathdependent options in some classes of semimartingale models. The options considered are some classes of lookback options, Asian and American options and barrier options. Comparison of the pathdependent options is based
Pricing of American PathDependent Contingent Claims
, 1994
"... We consider the problem of pricing pathdependent contingent claims. Classically, this problem can be cast into the BlackScholes valuation framework through inclusion of the pathdependent variables into the state space. This leads to solving a degenerate advectiondiffusion Partial Differential Eq ..."
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Cited by 53 (1 self)
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necessary and sufficient conditions amenable to a Lie algebraic characterization, under which degenerate diffusions can be reduced to lowerdimensional nondegenerate diffusions on a submanifold of the underlying asset space. We apply these results to pathdependent options. Then, we describe a new
Connecting Discrete and Continuous PathDependent Options
, 1999
"... . This paper develops methods for relating the prices of discrete and continuoustime versions of pathdependent options sensitive to extremal values of the underlying asset, including lookback, barrier, and hindsight options. The relationships take the form of correction terms that can be interpre ..."
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Cited by 54 (5 self)
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. This paper develops methods for relating the prices of discrete and continuoustime versions of pathdependent options sensitive to extremal values of the underlying asset, including lookback, barrier, and hindsight options. The relationships take the form of correction terms that can
Numerical Pricing of PathDependent Options
, 1996
"... Option contracts have become increasingly important in the field of finance since they possess characteristics that are attractive to both speculators and hedgers. One important problem is determining the "fair value" of an option efficiently and accurately. In this thesis we first revie ..."
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Option contracts have become increasingly important in the field of finance since they possess characteristics that are attractive to both speculators and hedgers. One important problem is determining the "fair value" of an option efficiently and accurately. In this thesis we first
PathDependent Option Valuation When the Underlying Path Is Discontinuous
 The J. of Financial Engineering, v.8, N
, 1997
"... The payoffs of pathdependent options depend not only on the final values, but also on the sample paths of the prices of the underlying assets. A rigorous modeling of the underlying asset price processes which can appropriately describe the sample paths is therefore critical for pricing pathdepende ..."
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Cited by 3 (0 self)
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The payoffs of pathdependent options depend not only on the final values, but also on the sample paths of the prices of the underlying assets. A rigorous modeling of the underlying asset price processes which can appropriately describe the sample paths is therefore critical for pricing pathdependent
PreferenceFree Option Pricing with PathDependent. . .
, 1998
"... : This paper shows how one can obtain a continuoustime preferencefree option pricing model with a pathdependent volatility as the limit of a discretetime GARCH model. In particular, the continuoustime model is the limit of a discretetime GARCH model of Heston and Nandi (1997) that allows asymm ..."
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Cited by 4 (0 self)
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: This paper shows how one can obtain a continuoustime preferencefree option pricing model with a pathdependent volatility as the limit of a discretetime GARCH model. In particular, the continuoustime model is the limit of a discretetime GARCH model of Heston and Nandi (1997) that allows
1 Framing as PathDependence
, 2003
"... Abstract. A “framing ” effect occurs when an agent’s choices are not invariant under changes in the way a choice problem is formulated, e.g. changes in the way the options are described (violation of description invariance) or in the way preferences are elicited (violation of procedure invariance). ..."
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Abstract. A “framing ” effect occurs when an agent’s choices are not invariant under changes in the way a choice problem is formulated, e.g. changes in the way the options are described (violation of description invariance) or in the way preferences are elicited (violation of procedure invariance
Results 1  10
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178