Discrete approximation of American-type options

DOI10.1070/RM2006V061N01ABEH004306MaRDI QIDQ5460520zbMATH OpenOpenAlexFDO

Authors Roman Ivanov

Publication date 28 April 2008

Published in Russian Mathematical Surveys (Search for Journal in Brave)

Full work available at URL http://mathnet.ru/eng/umn/v61/i1/p179

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) White noise theory (60H40) Portfolio theory (91G10)

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