Pricing American options by exercise rate optimization (Q4957236)
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scientific article; zbMATH DE number 7390937
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing American options by exercise rate optimization |
scientific article; zbMATH DE number 7390937 |
Statements
Pricing American options by exercise rate optimization (English)
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3 September 2021
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American option
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Monte Carlo method
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Black-Scholes model
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Heston model
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Bergomi model
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