Monte Carlo valuation of American options (Q4795996): Difference between revisions
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| Property / cites work: Pricing American-style securities using simulation / rank | |||
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| Property / cites work: Estimating Security Price Derivatives Using Simulation / rank | |||
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| Property / cites work: Pricing American Options: A Duality Approach / rank | |||
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| Property / cites work: Arrow-Pratt risk aversion, risk premium and decision weights / rank | |||
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| Property / cites work: Q4328337 / rank | |||
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Latest revision as of 13:12, 5 June 2024
scientific article; zbMATH DE number 1874575
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Monte Carlo valuation of American options |
scientific article; zbMATH DE number 1874575 |
Statements
Monte Carlo valuation of American options (English)
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26 February 2003
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Monte Carlo
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Amerian option
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duality
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Lagrangian
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martingale
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Snell envelope
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