A NEW MONTE CARLO METHOD FOR AMERICAN OPTIONS (Q4653042): Difference between revisions
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| Property / cites work: ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS / rank | |||
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| Property / cites work: Optimal exercise boundary for an American put option / rank | |||
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| Property / cites work: Q4229805 / rank | |||
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| Property / cites work: Numerical solution of the Dirichlet problem for nonlinear parabolic equations by a probabilistic approach / rank | |||
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| Property / cites work: Monte Carlo construction of hedging strategies against multi-asset European claims / rank | |||
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| Property / cites work: Expansion of the global error for numerical schemes solving stochastic differential equations / rank | |||
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Revision as of 18:12, 7 June 2024
scientific article; zbMATH DE number 2139709
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A NEW MONTE CARLO METHOD FOR AMERICAN OPTIONS |
scientific article; zbMATH DE number 2139709 |
Statements
A NEW MONTE CARLO METHOD FOR AMERICAN OPTIONS (English)
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28 February 2005
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determination of the exercise boundary
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