Dual Pricing of American Options by Wiener Chaos Expansion (Q4579832)
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scientific article; zbMATH DE number 6915868
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dual Pricing of American Options by Wiener Chaos Expansion |
scientific article; zbMATH DE number 6915868 |
Statements
Dual Pricing of American Options by Wiener Chaos Expansion (English)
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10 August 2018
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American option
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duality
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Snell envelope
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stochastic optimization
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sample average approximation
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high performance computing
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Wiener chaos expansion
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