Concepedia

On improving the least squares Monte Carlo option valuation method

Nelson Areal, Artur Rodrigues, Manuel José da Rocha Armada

Review of Derivatives Research · 2008 · 44 citations · 38 references

DOI

Concepts

References

38

The Pricing of Options and Corporate Liabilities

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

, , +13

Numerical recipes in C: the art of scientific computing

Choice Reviews Online · 1993 · 18.1K citations · Full text

, , +12

Numerical recipes in Pascal: the art of scientific computing

Choice Reviews Online · 1990 · 11.9K citations

, , +10

Option pricing: A simplified approach

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

, , +13

A Note on the Generation of Random Normal Deviates

George E. P. Box · The Annals of Mathematical Statistics · 1958 · 3.4K citations · Full text

, , +1