Ibáñez, Alfredo; Zapatero, Fernando - In: Journal of Financial and Quantitative Analysis 39 (2004) 02, pp. 253-275
This paper introduces a Monte Carlo simulation method for pricing multidimensional American options based on the computation of the optimal exercise frontier. We consider Bermudan options that can be exercised at a finite number of times and compute the optimal exercise frontier recursively. We...
