Pricing American contingent claims by stochastic linear programming (Q3391893)
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scientific article; zbMATH DE number 5594715
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Pricing American contingent claims by stochastic linear programming |
scientific article; zbMATH DE number 5594715 |
Statements
Pricing American contingent claims by stochastic linear programming (English)
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13 August 2009
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American contingent claim
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pricing
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hedging
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martingales
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stochastic linear programming
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0.90464664
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0.9013405
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0.89310545
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0.89083725
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0.88720137
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0.88465714
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