Asymmetric Variance Reduction for Pricing American Options (Q3631186)

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Asymmetric Variance Reduction for Pricing American Options
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    title
    Asymmetric Variance Reduction for Pricing American Options (English)
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    author
    Chuan-Hsiang Han
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    Jean-Pierre Fouque
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    publication date
    5 June 2009
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    zbMATH Keywords
    American option
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    Monte Carlo method
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    hedging martingale
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91G60
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    65C05
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    60G44
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    91G80
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    zbMATH DE Number
    5562305
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