American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach (Q2935304)
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scientific article; zbMATH DE number 6382471
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| English | American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach |
scientific article; zbMATH DE number 6382471 |
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American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach (English)
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22 December 2014
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finance
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asset pricing
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American option
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price sensitivities
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simulation
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dynamic programming
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optimal stopping
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0.9174027
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0.90756166
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0.9020785
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0.9018451
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0.88845605
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0.88796735
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0.8875594
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