Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity (Q2917427)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity |
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity |
scientific article |
Statements
Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity (English)
0 references
28 September 2012
0 references
American option
0 references
Bermudan option
0 references
simulation
0 references
exercise region
0 references
Snell envelope
0 references
dynamic programming
0 references
