Implied stopping rules for American basket options from Markovian projection (Q5234298)
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scientific article; zbMATH DE number 7110423
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Implied stopping rules for American basket options from Markovian projection |
scientific article; zbMATH DE number 7110423 |
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Implied stopping rules for American basket options from Markovian projection (English)
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26 September 2019
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basket option
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optimal stopping
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Black-Scholes
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error bounds
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Monte Carlo
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Markovian projection
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Hamilton-Jabcobi-Bellman
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