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Russel Caflisch

University of California, Los Angeles (UCLA) - Department of Mathematics

Los Angeles, CA 90095-1481

United States

  • University of California, Los Angeles (UCLA) - Department of Mathematics

SCHOLARLY PAPERS

2

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777

TOTAL CITATIONS

4

Scholarly Papers (2)

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1.

Pricing and Hedging American-Style Options: A Simple Simulation-Based Approach

The Journal of Computational Finance (95-125), Volumn 13 / Number 4, Summer 2010.
Number of pages: 29 Posted: 21 Oct 2009 Last Revised: 13 Aug 2012
Yang Wang and Russel Caflisch
University of California, Los Angeles (UCLA) - Department of Mathematics and University of California, Los Angeles (UCLA) - Department of Mathematics
Downloads 602 (111,533)
Citation 2

Abstract:

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American option, Simulation-based Approach, Least Squares Monte-Carlo, Pricing and Hedging, Estimating Sensitivities

2.

Fast Computation of Upper Bounds for American-Style Options Without Nested Simulation

Number of pages: 24 Posted: 21 May 2010
Yang Wang and Russel Caflisch
University of California, Los Angeles (UCLA) - Department of Mathematics and University of California, Los Angeles (UCLA) - Department of Mathematics
Downloads 175 (431,126)
Citation 2

Abstract:

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