The forward-path method for pricing multi-asset American-style options under general diffusion processes (Q2252387)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The forward-path method for pricing multi-asset American-style options under general diffusion processes |
scientific article |
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The forward-path method for pricing multi-asset American-style options under general diffusion processes (English)
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17 July 2014
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Monte Carlo
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memory reduction
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American-style options
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Taylor implicit scheme
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