Approximation of the Snell Envelope and American Options Prices in dimension one (Q4534857)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Approximation of the Snell Envelope and American Options Prices in dimension one |
scientific article; zbMATH DE number 1754239
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Approximation of the Snell Envelope and American Options Prices in dimension one |
scientific article; zbMATH DE number 1754239 |
Statements
Approximation of the Snell Envelope and American Options Prices in dimension one (English)
0 references
11 June 2002
0 references
dynamic programming
0 references
optimal stopping problem
0 references
Black-Scholes model
0 references
tree method
0 references
0.8008084297180176
0 references
0.8008082509040833
0 references
0.7995296716690063
0 references
0.7955487370491028
0 references
0.7941499948501587
0 references
