Monte Carlo valuation of American options (Q4795996)

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scientific article; zbMATH DE number 1874575
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English
Monte Carlo valuation of American options
scientific article; zbMATH DE number 1874575

    Statements

    title
    Monte Carlo valuation of American options (English)
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    author
    L. C. G. Rogers
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    publication date
    26 February 2003
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    zbMATH Keywords
    Monte Carlo
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    Amerian option
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    duality
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    Lagrangian
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    martingale
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    Snell envelope
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    Identifiers

    zbMATH DE Number
    1874575
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    OpenAlex ID
    W3124696154
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