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  • Search: subject:"AVERAGE PRICE OPTIONS"
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AVERAGE PRICE OPTIONS 1 American options 1 Asian options 1 BONDS 1 MONTE CARLO SIMULATION 1 Monte Carlo simulation 1 average-price options 1 contingent claims valuation 1 derivative securities 1 option valuation 1 path-dependent options 1
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Undetermined 2
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Article 2
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Undetermined 2
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Easton, Stephen A. 1 Grant, Dwight 1 Vora, Gautam 1 Weeks, David 1
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Australian Journal of Management 1 Management Science 1
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RePEc 2
Showing 1 - 2 of 2
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Path-Dependent Options: Extending the Monte Carlo Simulation Approach
Grant, Dwight; Vora, Gautam; Weeks, David - In: Management Science 43 (1997) 11, pp. 1589-1602
Monte Carlo simulation has been used to value options since Boyle's seminal paper. Monte Carlo simulation, however, has not been used to its fullest extent for option valuation because of the belief that the method is not feasible for American-style options. This paper demonstrates how to...
Persistent link: https://www.econbiz.de/10009208564
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Valuing Bonds with Embedded Average Price Options
Easton, Stephen A. - In: Australian Journal of Management 21 (1996) 1, pp. 29-40
Average price options are based on the average (either arithmetic or geometric) price of the underlying asset during an …
Persistent link: https://www.econbiz.de/10010769373
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