This article shows how to value the optimal stopping time for any Markovian process in finite
discrete time. Specifically, the article focuses on the valuation of American options using …

In this paper we provide valuation formulas for several types of American options on two or
more assets. Our contribution is twofold. First, we characterize the optimal exercise regions …

Focusing on recent developments in the field, American-Style Derivatives provides an
extensive treatment of option pricing with emphasis on the valuation of American options on …

This paper introduces a Monte Carlo simulation method for pricing multidimensional
American options based on the computation of the optimal exercise frontier. We consider …

Monte Carlo simulation has been used to value options since Boyle's seminal paper. Monte
Carlo simulation, however, has not been used to its fullest extent for option valuation …

In this paper, we study the nonemptiness and the shape of the exercise region of American
options written on several assets. Our contribution is threefold. First, we state an analytic …

In 1987, Lo derived an upper bound on the price of a European call option on a single asset.
Lo's bound depends only on the mean and variance of the terminal asset price and is …

ABSTRACT This article uses Monte Carlo simulation to identify optimal early-exercise
condition (s) for options. Thus, Monte Carlo simulation can value American-style options for …

(Cont.) A novel methodology and algorithm, called" Invariant Design Rules"(IDR), is
developed for the exploration of alternative standardization opportunities, ie, collections of …

The foreign exchange markets felt the necessity of using contracts written on harmonic
averages. They are attractive because are cheaper than the contracts written on the …