Dual Pricing of American Options by Wiener Chaos Expansion (Q4579832): Difference between revisions

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Latest revision as of 17:10, 14 September 2024

scientific article; zbMATH DE number 6915868
Language Label Description Also known as
English
Dual Pricing of American Options by Wiener Chaos Expansion
scientific article; zbMATH DE number 6915868

    Statements

    Dual Pricing of American Options by Wiener Chaos Expansion (English)
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    10 August 2018
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    American option
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    duality
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    Snell envelope
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    stochastic optimization
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    sample average approximation
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    high performance computing
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    Wiener chaos expansion
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