Revisit of stochastic mesh method for pricing American options (Q1043249): Difference between revisions
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| Property / cites work: Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives / rank | |||
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| Property / cites work: Q3059475 / rank | |||
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| Property / cites work: Efficient Monte Carlo and Quasi–Monte Carlo Option Pricing Under the Variance Gamma Model / rank | |||
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| Property / cites work: Q4433608 / rank | |||
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Latest revision as of 07:06, 2 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Revisit of stochastic mesh method for pricing American options |
scientific article |
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Revisit of stochastic mesh method for pricing American options (English)
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7 December 2009
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pricing American option
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stochastic mesh method
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Monte Carlo simulation
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