The forward-path method for pricing multi-asset American-style options under general diffusion processes (Q2252387): Difference between revisions
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| Property / cites work: Monte Carlo methods for security pricing / rank | |||
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| Property / cites work: Pricing American-style securities using simulation / rank | |||
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| Property / cites work: Pricing multi-asset American-style options by memory reduction Monte Carlo methods / rank | |||
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| Property / cites work: Memory-Reduction Method for Pricing American-Style Options under Exponential Lévy Processes / rank | |||
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| Property / cites work: Implicit Taylor methods for stiff stochastic differential equations / rank | |||
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| Property / cites work: Higher-order implicit strong numerical schemes for stochastic differential equations / rank | |||
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Revision as of 18:06, 8 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The forward-path method for pricing multi-asset American-style options under general diffusion processes |
scientific article |
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The forward-path method for pricing multi-asset American-style options under general diffusion processes (English)
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17 July 2014
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Monte Carlo
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memory reduction
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American-style options
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Taylor implicit scheme
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