Backward simulation methods for pricing American options under the CIR process (Q4555172)
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scientific article; zbMATH DE number 6981283
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Backward simulation methods for pricing American options under the CIR process |
scientific article; zbMATH DE number 6981283 |
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Backward simulation methods for pricing American options under the CIR process (English)
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19 November 2018
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backward simulation
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CIR process
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American options
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least squares Monte Carlo
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memory reduction
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0.8879572
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0.8855686
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0.8663131
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0.8645165
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0.8640573
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0.86040944
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