An improved simulation method for pricing high-dimensional American derivatives. (Q1873029)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: An improved simulation method for pricing high-dimensional American derivatives. |
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An improved simulation method for pricing high-dimensional American derivatives. |
scientific article |
Statements
An improved simulation method for pricing high-dimensional American derivatives. (English)
0 references
19 May 2003
0 references
American options
0 references
Monte Carlo
0 references
quasi-Monte Carlo
0 references
dynamic programming
0 references
