Enhanced policy iteration for American options via scenario selection (Q3498561): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W1994634377 / rank | |||
Normal rank | |||
Revision as of 18:14, 19 March 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
