Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity (Q2917427)
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scientific article; zbMATH DE number 6088199
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| English | Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity |
scientific article; zbMATH DE number 6088199 |
Statements
Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity (English)
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28 September 2012
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American option
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Bermudan option
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simulation
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exercise region
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Snell envelope
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dynamic programming
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0.9174447
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0.9173441
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0.9114393
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0.9061304
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0.90009224
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0.8997184
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0.89912856
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