Snell envelope with small probability criteria (Q1935508)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Snell envelope with small probability criteria |
scientific article |
Statements
Snell envelope with small probability criteria (English)
0 references
18 February 2013
0 references
Snell envelope
0 references
American option
0 references
Bermudan option
0 references
stochastic mesh
0 references
particle methods
0 references
rare events
0 references
