MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES (Q5483499)
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scientific article; zbMATH DE number 5045428
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES |
scientific article; zbMATH DE number 5045428 |
Statements
MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES (English)
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14 August 2006
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American and Bermudan options
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lower and upper bounds
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Monte Carlo simulation
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variance reduction
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