Regression methods in pricing American and Bermudan options using consumption processes (Q3395739)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Regression methods in pricing American and Bermudan options using consumption processes |
scientific article |
Statements
Regression methods in pricing American and Bermudan options using consumption processes (English)
0 references
13 September 2009
0 references
American and Bermudan options
0 references
error bounds
0 references
Monte Carlo
0 references
consumption process
0 references
regression methods
0 references
optimal stopping times
0 references
0 references