Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity (Q2917427)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity |
scientific article |
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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