Pricing high-dimensional Bermudan options using the stochastic grid method (Q4903543): Difference between revisions

@@ Property / author @@
-Cornelis W. Oosterlee
@@ Property / author: Cornelis W. Oosterlee / rank @@
-Normal rank
@@ Property / author @@
+Cornelis W. Oosterlee
@@ Property / author: Cornelis W. Oosterlee / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1080/00207160.2012.690035
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@@ Property / OpenAlex ID @@
+W2165647372
@@ Property / OpenAlex ID: W2165647372 / rank @@
+Normal rank
@@ Property / cites work @@
+A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
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+Policy iteration for american options: overview
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