An improved simulation method for pricing high-dimensional American derivatives. (Q1873029): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An improved simulation method for pricing high-dimensional American derivatives. |
scientific article |
Statements
An improved simulation method for pricing high-dimensional American derivatives. (English)
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19 May 2003
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American options
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Monte Carlo
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quasi-Monte Carlo
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dynamic programming
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