美式選擇權之數值演算法
碩士 === 輔仁大學 === 金融研究所 === 89 === Abstract This article proposes a new numerical algorithm for American option, adopting the concept of Broadie and Glasserman [1997]. For the reason that there is no unbiased simulation estimator of American option values, we use the confidence intervals th...
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| Format: | Others |
| Language: | zh-TW |
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2001
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| Online Access: | http://ndltd.ncl.edu.tw/handle/15646357570145580333 |