Analysis of the SSAP method for the numerical valuation of high-dimensional multivariate American securities (Q1818276)
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scientific article; zbMATH DE number 1383764
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| English | Analysis of the SSAP method for the numerical valuation of high-dimensional multivariate American securities |
scientific article; zbMATH DE number 1383764 |
Statements
Analysis of the SSAP method for the numerical valuation of high-dimensional multivariate American securities (English)
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1 February 2000
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American options
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American pricing
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Monte Carlo simulation
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optimal control
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finite-difference
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Itô process
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0.7414988279342651
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