Pricing American options by exercise rate optimization (Q4957236)
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: Pricing American options by exercise rate optimization |
scientific article; zbMATH DE number 7390937
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Pricing American options by exercise rate optimization |
scientific article; zbMATH DE number 7390937 |
Statements
Pricing American options by exercise rate optimization (English)
0 references
3 September 2021
0 references
American option
0 references
Monte Carlo method
0 references
Black-Scholes model
0 references
Heston model
0 references
Bergomi model
0 references
0 references
0 references
0 references
0 references
0.8405538201332092
0 references
0.8189330697059631
0 references
