LOCALIZED MONTE CARLO ALGORITHM TO COMPUTE PRICES OF PATH DEPENDENT OPTIONS ON TREES
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Publication:5696293
DOI10.1142/S0219024905003177zbMath1102.91046MaRDI QIDQ5696293
A. J. Bernal, Sebastian E. Ferrando
Publication date: 18 October 2005
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024905003177
91G60: Numerical methods (including Monte Carlo methods)
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