Dual pricing of American options by Wiener chaos expansion (Q4579832)
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scientific article; zbMATH DE number 6915868
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| English | Dual pricing of American options by Wiener chaos expansion |
scientific article; zbMATH DE number 6915868 |
Statements
Dual Pricing of American Options by Wiener Chaos Expansion (English)
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10 August 2018
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American option
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duality
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Snell envelope
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stochastic optimization
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sample average approximation
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high performance computing
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Wiener chaos expansion
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0.8277965188026428
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0.7999653816223145
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0.7941526770591736
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0.7917872071266174
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