Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity
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Publication:2917427
DOI10.1007/978-3-642-25746-9_4zbMath1247.91197MaRDI QIDQ2917427
Sylvain Rubenthaler, Bruno Rémillard, Pierre Del Moral
Publication date: 28 September 2012
Published in: Springer Proceedings in Mathematics (Search for Journal in Brave)
Full work available at URL: https://hal.univ-cotedazur.fr/hal-00755423/file/convex200101030.pdf
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
91G20: Derivative securities (option pricing, hedging, etc.)
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