Enhanced policy iteration for American options via scenario selection (Q3498561)
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scientific article; zbMATH DE number 5275909
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Enhanced policy iteration for American options via scenario selection |
scientific article; zbMATH DE number 5275909 |
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Enhanced policy iteration for American options via scenario selection (English)
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15 May 2008
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American-style derivative securities
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Monte Carlo methods
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optimal policies
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pricing of derivatives securities
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0.816662073135376
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0.8001375198364258
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0.7899328470230103
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0.7622291445732117
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0.7620735764503479
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