A stochastic approximation algorithm for American lookback put options (Q3168708)
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scientific article; zbMATH DE number 5879796
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A stochastic approximation algorithm for American lookback put options |
scientific article; zbMATH DE number 5879796 |
Statements
A Stochastic Approximation Algorithm for American Lookback Put Options (English)
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19 April 2011
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lookback option
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mollifier
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regime-switching diffusion
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stochastic approximation
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weak convergence
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0.8356370329856873
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0.8206906914710999
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0.8059600591659546
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0.794098973274231
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