Monte Carlo valuation of American options (Q4795996)
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scientific article; zbMATH DE number 1874575
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Monte Carlo valuation of American options |
scientific article; zbMATH DE number 1874575 |
Statements
Monte Carlo valuation of American options (English)
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26 February 2003
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Monte Carlo
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Amerian option
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duality
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Lagrangian
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martingale
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Snell envelope
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