Pricing of path-dependent American options by Monte Carlo simulation (Q1027429)
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scientific article; zbMATH DE number 5573615
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Pricing of path-dependent American options by Monte Carlo simulation |
scientific article; zbMATH DE number 5573615 |
Statements
Pricing of path-dependent American options by Monte Carlo simulation (English)
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1 July 2009
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Malliavin calculus
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dynamic programming
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American option
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floating-rate bond
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0.8304108381271362
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0.8152129650115967
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0.8087266683578491
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0.8084161877632141
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