Stochastic optimization algorithms for pricing American put options under regime-switching models (Q868582): Difference between revisions
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| Property / MaRDI profile type: MaRDI publication profile / rank | |||
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| Property / full work available at URL: https://doi.org/10.1007/s10957-006-9134-4 / rank | |||
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| Property / OpenAlex ID: W2030912703 / rank | |||
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| Property / cites work: Closed-Form Solutions for Perpetual American Put Options with Regime Switching / rank | |||
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| Property / cites work: AMERICAN OPTIONS WITH REGIME SWITCHING / rank | |||
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| Property / cites work: Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach / rank | |||
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| Property / cites work: Q4433608 / rank | |||
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| Property / cites work: Q4421713 / rank | |||
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Latest revision as of 15:30, 25 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic optimization algorithms for pricing American put options under regime-switching models |
scientific article |
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Stochastic optimization algorithms for pricing American put options under regime-switching models (English)
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6 March 2007
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Markov-modulated stochastic optimization
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