The forward-path method for pricing multi-asset American-style options under general diffusion processes (Q2252387): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: Publication / rank | |||
Normal rank | |||
Revision as of 06:28, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The forward-path method for pricing multi-asset American-style options under general diffusion processes |
scientific article |
Statements
The forward-path method for pricing multi-asset American-style options under general diffusion processes (English)
0 references
17 July 2014
0 references
Monte Carlo
0 references
memory reduction
0 references
American-style options
0 references
Taylor implicit scheme
0 references
