The forward-path method for pricing multi-asset American-style options under general diffusion processes (Q2252387): Difference between revisions

@@ Property / DOI @@
-.1016/j.cam.2013.11.026
@@ Property / DOI: 10.1016/j.cam.2013.11.026 / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.cam.2013.11.026
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@@ Property / OpenAlex ID @@
+W2055098077
@@ Property / OpenAlex ID: W2055098077 / rank @@
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@@ Property / cites work @@
+Monte Carlo methods for security pricing
@@ Property / cites work: Monte Carlo methods for security pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing American-style securities using simulation
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@@ Property / cites work @@
+Pricing multi-asset American-style options by memory reduction Monte Carlo methods
+Normal rank
@@ Property / cites work @@
+Memory-Reduction Method for Pricing American-Style Options under Exponential Lévy Processes
+Normal rank
@@ Property / cites work @@
+Implicit Taylor methods for stiff stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Higher-order implicit strong numerical schemes for stochastic differential equations
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@@ Property / DOI @@
+.1016/J.CAM.2013.11.026
@@ Property / DOI: 10.1016/J.CAM.2013.11.026 / rank @@
+Normal rank