Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods (Q2917432)
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scientific article; zbMATH DE number 6088202
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| English | Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods |
scientific article; zbMATH DE number 6088202 |
Statements
Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods (English)
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28 September 2012
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Monte Carlo
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American option
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Malliavin
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quantization
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regression
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0.9144431352615356
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0.8850889801979065
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0.8794625997543335
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0.8702675104141235
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