Multilevel dual approach for pricing American style derivatives (Q377450): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91G60 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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| Property / Mathematics Subject Classification ID: 65C05 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60G40 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6223041 / rank | |||
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American option | |||
| Property / zbMATH Keywords: American option / rank | |||
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optimal stopping | |||
| Property / zbMATH Keywords: optimal stopping / rank | |||
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dual approach | |||
| Property / zbMATH Keywords: dual approach / rank | |||
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multilevel Monte Carlo | |||
| Property / zbMATH Keywords: multilevel Monte Carlo / rank | |||
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Revision as of 10:54, 29 June 2023
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)
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6 November 2013
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American option
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optimal stopping
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dual approach
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multilevel Monte Carlo
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