Using forward Monte-Carlo simulation for the valuation of American barrier options.

Daniel Wei-Chung Miao Yung-Hsin Lee Jr-Yan Wang

Published in: Ann. Oper. Res. (2018)

Keyphrases

monte carlo simulation
monte carlo
markov chain
real option
option pricing
united states
additive model
state space
bi directional
database
real time
machine learning
decision making