ALTERNATIVE RANDOMIZATION FOR VALUING AMERICAN OPTIONS (Q3566765)

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ALTERNATIVE RANDOMIZATION FOR VALUING AMERICAN OPTIONS
scientific article

    Statements

    title
    ALTERNATIVE RANDOMIZATION FOR VALUING AMERICAN OPTIONS (English)
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    author
    Toshikazu Kimura
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    publication date
    10 June 2010
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    zbMATH Keywords
    American options
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    randomization
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    Canadian options
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    Laplace transforms
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    Gaver-Stehfest method
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    35Q91
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    91G60
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    zbMATH DE Number
    5719296
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