Concepedia

Assessing the Least Squares Monte-Carlo Approach to American Option Valuation

Lars Stentoft

Review of Derivatives Research · 2004 · 134 citations · 20 references

DOI

Concepts

References

20

The Pricing of Options and Corporate Liabilities

Fischer Black, Myron S. Scholes · Journal of Political Economy · 1973 · 29.4K citations

, , +13

Option pricing: A simplified approach

John C. Cox, Stephen A. Ross, Mark Rubinstein · Journal of Financial Economics · 1979 · 6.2K citations

, , +13

“Options, Futures, and Other Derivatives”

AMBER – ABBS Management Business and Entrepreneurship Review · 2016 · 5.2K citations · Full text

, , +11

Valuing American Options by Simulation: A Simple Least-Squares Approach

Francis A. Longstaff, Eduardo S. Schwartz · Review of Financial Studies · 2001 · 3.3K citations

, , +16

Options: A Monte Carlo approach

Phelim P. Boyle · Journal of Financial Economics · 1977 · 1.3K citations

, , +12