Spline Cubatures for Expectations of Diffusion Processes and Optimal Stopping in Higher Dimensions (with Computational Finance in View) (Q3528740)
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scientific article; zbMATH DE number 5353225
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| English | Spline Cubatures for Expectations of Diffusion Processes and Optimal Stopping in Higher Dimensions (with Computational Finance in View) |
scientific article; zbMATH DE number 5353225 |
Statements
Spline Cubatures for Expectations of Diffusion Processes and Optimal Stopping in Higher Dimensions (with Computational Finance in View) (English)
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17 October 2008
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American-style put option
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0.7823392748832703
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0.7733545899391174
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0.7562676072120667
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0.754043698310852
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0.7520536780357361
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