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Sequential Monte Carlo pricing of American-style options under stochastic volatility models. (2012). Rambharat, Bhojnarine R. ; Brockwell, Anthony E..
In: Papers.
RePEc:arx:papers:1010.1372.

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  1. American Statist. Assoc. 94 590599. MR1702328 Rambharat, B. R. (2005). Valuation methods for American derivatives in a stochastic volatility framework. Ph.D. thesis, Carnegie Mellon Univ., Pittsburgh.
    Paper not yet in RePEc: Add citation now
  2. Athena Scientific, Belmont, MA. MR2183196 Bertsekas, D. P. (2007). Dynamic Programming and Optimal Control, Vol. 2, 3rd ed. Athena Scientific, Belmont, MA.
    Paper not yet in RePEc: Add citation now
  3. Springer, New York. MR1093459 Brockwell, A. and Kadane, J. (2003). A gridding method for Bayesian sequential decision problems. J. Comput. Graph. Statist. 12 566584. MR2002636 Carr, P., Jarrow, R. and Myneni, R. (1992). Alternative characterizations of American put options. Math. Finance 2 87106. MR1143390 Carri`ere, J. (1996). Valuation of the early-exercise price for derivative securities using simulations and splines. Insurance Math. Econom. 19 1930.

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  2. The implication of missing the optimal-exercise time of an American option. (2015). Feng, Haolin ; Chockalingam, Arun.
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  4. Sequential Monte Carlo pricing of American-style options under stochastic volatility models. (2012). Rambharat, Bhojnarine R. ; Brockwell, Anthony E..
    In: Papers.
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  47. Nonparametric Estimation of American Options Exercise Boundaries and Call Prices. (1996). Ghysels, Eric ; Detemple, Jerome ; Torres, Olivier ; Broadie, Mark.
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  48. Recent Advances in Numerical Methods for Pricing Derivative Securities. (1996). Detemple, Jerome ; Broadie, Mark.
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  49. American Options on Dividend-Paying Assets. (1996). Detemple, Jerome ; Broadie, Mark.
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