Backward induction for future values

A new framework for derivatives pricing with valuation adjustments

wooden-abacus-black-and-white-beads

CLICK HERE TO VIEW THE ARTICLE IN FULL

The American (or least squares) Monte Carlo method in its original formulation (see, for example, Carriere 1996; Longstaff & Schwartz 2001; and see also Glasserman (2003) for a more complete list of references) uses a backward induction to compute the continuation value of a derivative. In this article we generalise the backward induction to compute a future value of a derivative that corresponds to the full instrument value on future dates with effectsof

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here