Revisit of stochastic mesh method for pricing American options
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Publication:1043249
DOI10.1016/j.orl.2009.06.001zbMath1182.91212OpenAlexW1986654260MaRDI QIDQ1043249
Publication date: 7 December 2009
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2009.06.001
Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (4)
An Introduction to Particle Methods with Financial Applications ⋮ Valuing American options under the CEV model by Laplace-Carson transforms ⋮ Snell envelope with small probability criteria ⋮ A new methodology to estimate constant elasticity of variance
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