A NEW MONTE CARLO METHOD FOR AMERICAN OPTIONS (Q4653042)

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scientific article; zbMATH DE number 2139709
Language Label Description Also known as
English
A NEW MONTE CARLO METHOD FOR AMERICAN OPTIONS
scientific article; zbMATH DE number 2139709

    Statements

    title
    A NEW MONTE CARLO METHOD FOR AMERICAN OPTIONS (English)
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    author
    Oliver Reiß
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    Grigori N. Milstein
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    publication date
    28 February 2005
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    zbMATH Keywords
    determination of the exercise boundary
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    60H30
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    65C30
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    zbMATH DE Number
    2139709
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    OpenAlex ID
    W2165707952
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