A Stochastic Approximation Algorithm for American Lookback Put Options (Q3168708): 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 11:01, 5 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | A Stochastic Approximation Algorithm for American Lookback Put Options |
scientific article |
Statements
A Stochastic Approximation Algorithm for American Lookback Put Options (English)
0 references
19 April 2011
0 references
lookback option
0 references
mollifier
0 references
regime-switching diffusion
0 references
stochastic approximation
0 references
weak convergence
0 references