A NEW MONTE CARLO METHOD FOR AMERICAN OPTIONS (Q4653042): Difference between revisions

@@ Property / author @@
-Q231627
@@ Property / author: Q231627 / rank @@
-Normal rank
@@ Property / author @@
-John G. M. Schoenmakers
@@ Property / author: John G. M. Schoenmakers / rank @@
-Normal rank
@@ Property / author @@
+Grigori N. Milstein
@@ Property / author: Grigori N. Milstein / rank @@
+Normal rank
@@ Property / author @@
+John G. M. Schoenmakers
@@ Property / author: John G. M. Schoenmakers / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / cites work @@
+ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
+Normal rank
@@ Property / cites work @@
+Optimal exercise boundary for an American put option
+Normal rank
@@ Property / cites work @@
+Q4229805
@@ Property / cites work: Q4229805 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical solution of the Dirichlet problem for nonlinear parabolic equations by a probabilistic approach
+Normal rank
@@ Property / cites work @@
+Monte Carlo construction of hedging strategies against multi-asset European claims
+Normal rank
@@ Property / cites work @@
+Expansion of the global error for numerical schemes solving stochastic differential equations
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1142/s0219024904002554
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@@ Property / OpenAlex ID @@
+W2165707952
@@ Property / OpenAlex ID: W2165707952 / rank @@
+Normal rank