MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES (Q5483499): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
Revision as of 22:36, 5 March 2024
scientific article; zbMATH DE number 5045428
Language | Label | Description | Also known as |
---|---|---|---|
English | MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES |
scientific article; zbMATH DE number 5045428 |
Statements
MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES (English)
0 references
14 August 2006
0 references
American and Bermudan options
0 references
lower and upper bounds
0 references
Monte Carlo simulation
0 references
variance reduction
0 references