Coupling backward induction with Monte Carlo simulations: a fast Fourier transform (FFT) approach (Q4541559)
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scientific article; zbMATH DE number 1771955
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Coupling backward induction with Monte Carlo simulations: a fast Fourier transform (FFT) approach |
scientific article; zbMATH DE number 1771955 |
Statements
Coupling backward induction with Monte Carlo simulations: a fast Fourier transform (FFT) approach (English)
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4 September 2002
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future payoffs
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Monte Carlo forward-induction methodology
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weak convergence
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American options
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compound options
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fast Fourier transform
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