Monte Carlo valuation of American options (Q4795996): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
ReferenceBot (talk | contribs) Changed an Item |
||
| (2 intermediate revisions by 2 users not shown) | |||
| 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/10.1111/1467-9965.02010 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W3124696154 / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Pricing American-style securities using simulation / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Estimating Security Price Derivatives Using Simulation / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Pricing American Options: A Duality Approach / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Arrow-Pratt risk aversion, risk premium and decision weights / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Q4328337 / rank | |||
Normal rank | |||
Latest revision as of 12:12, 5 June 2024
scientific article; zbMATH DE number 1874575
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Monte Carlo valuation of American options |
scientific article; zbMATH DE number 1874575 |
Statements
Monte Carlo valuation of American options (English)
0 references
26 February 2003
0 references
Monte Carlo
0 references
Amerian option
0 references
duality
0 references
Lagrangian
0 references
martingale
0 references
Snell envelope
0 references
