Multilevel dual approach for pricing American style derivatives (Q377450): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1007/s00780-013-0208-5 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2120301464 / rank | |||
Normal rank | |||
Revision as of 22:27, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multilevel dual approach for pricing American style derivatives |
scientific article |
Statements
Multilevel dual approach for pricing American style derivatives (English)
0 references
6 November 2013
0 references
American option
0 references
optimal stopping
0 references
dual approach
0 references
multilevel Monte Carlo
0 references
