OPTIONS - MONTE-CARLO APPROACH

被引：467

作者：

BOYLE, PP ^{[1
]}

机构：

[1] UNIV BRITISH COLUMBIA,VANCOUVER,BC,CANADA

来源：

关键词：

D O I：

10.1016/0304-405X(77)90005-8

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：323 / 338

页数：16

共 15 条

[1]

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SCHOLES, M .

[3]

BOYLE PP, 1976, J RISK INSURANCE, V4, P693

[4]

CHEN HY, 1969, THESIS U CALIFORNIA

[5] VALUATION OF OPTIONS FOR ALTERNATIVE STOCHASTIC-PROCESSES [J].

COX, JC ;

ROSS, SA .

[6]

FISHMAN GS, 1973, CONCEPTS METHODS DIS

[7]

Hammersley J.M., 1964, MONTE CARLO METHODS

[8] THEORY OF RATIONAL OPTION PRICING [J].

MERTON, RC .

BELL JOURNAL OF ECONOMICS, 1973, 4 (01) :141-183

[9] OPTION PRICING WHEN UNDERLYING STOCK RETURNS ARE DISCONTINUOUS [J].

MERTON, RC .

[10]

MEYER MA, 1956, S MONTE CARLO METHOD