Pricing high-dimensional Bermudan options using the stochastic grid method (Q4903543): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set OpenAlex properties. |
||
| (3 intermediate revisions by 2 users not shown) | |||
| Property / author | |||
| Property / author: Cornelis W. Oosterlee / rank | |||
| Property / author | |||
| Property / author: Cornelis W. Oosterlee / rank | |||
Normal rank | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1080/00207160.2012.690035 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2165647372 / rank | |||
Normal rank | |||
Revision as of 22:28, 19 March 2024
scientific article; zbMATH DE number 6127881
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing high-dimensional Bermudan options using the stochastic grid method |
scientific article; zbMATH DE number 6127881 |
Statements
Pricing high-dimensional Bermudan options using the stochastic grid method (English)
0 references
22 January 2013
0 references
Amrican options
0 references
high dimensional
0 references
Monte Carlo
0 references
Gram Charlier
0 references
stochastic grid method
0 references
regression
0 references
stochastic mesh method
0 references
least squares method (LSM)
0 references
Bermudan options
0 references
