Alternative randomization for valuing American options (Q3566765)
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scientific article; zbMATH DE number 5719296
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Alternative randomization for valuing American options |
scientific article; zbMATH DE number 5719296 |
Statements
ALTERNATIVE RANDOMIZATION FOR VALUING AMERICAN OPTIONS (English)
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10 June 2010
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American options
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randomization
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Canadian options
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Laplace transforms
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Gaver-Stehfest method
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0.8485224843025208
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0.838822066783905
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0.7622042894363403
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0.754065215587616
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0.7522604465484619
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