Enhanced policy iteration for American options via scenario selection (Q3498561): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Removed claims |
||
| Property / author | |||
| Property / author: Anastasia Kolodko / rank | |||
| Property / author | |||
| Property / author: John G. M. Schoenmakers / rank | |||
Revision as of 10:18, 20 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Enhanced policy iteration for American options via scenario selection |
scientific article |
Statements
Enhanced policy iteration for American options via scenario selection (English)
0 references
15 May 2008
0 references
American-style derivative securities
0 references
Monte Carlo methods
0 references
optimal policies
0 references
pricing of derivatives securities
0 references
