Multilevel dual approach for pricing American style derivatives (Q377450)
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scientific article; zbMATH DE number 6223041
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Multilevel dual approach for pricing American style derivatives |
scientific article; zbMATH DE number 6223041 |
Statements
Multilevel dual approach for pricing American style derivatives (English)
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6 November 2013
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American option
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optimal stopping
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dual approach
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multilevel Monte Carlo
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0.8494771122932434
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0.8231443166732788
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0.8151664137840271
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0.8146075010299683
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0.7945751547813416
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