Simple improvement method for upper bound of American option (Q3108374): Difference between revisions
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| Property / cites work: Improved lower and upper bound algorithms for pricing American options by simulation / rank | |||
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| Property / cites work: Additive and multiplicative duals for American option pricing / rank | |||
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| Property / cites work: Pricing American Options: A Duality Approach / rank | |||
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| Property / cites work: A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options / rank | |||
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| Property / cites work: Iterative construction of the optimal Bermudan stopping time / rank | |||
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| Property / cites work: Valuing American Options by Simulation: A Simple Least-Squares Approach / rank | |||
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| Property / cites work: Monte Carlo valuation of American options / rank | |||
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Latest revision as of 19:53, 4 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Simple improvement method for upper bound of American option |
scientific article |
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Simple improvement method for upper bound of American option (English)
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3 January 2012
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American option
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Monte Carlo simulation
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optimal stopping
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