Primal–dual quasi-Monte Carlo simulation with dimension reduction for pricing American options (Q5139263)
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scientific article; zbMATH DE number 7282802
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Primal–dual quasi-Monte Carlo simulation with dimension reduction for pricing American options |
scientific article; zbMATH DE number 7282802 |
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Primal–dual quasi-Monte Carlo simulation with dimension reduction for pricing American options (English)
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7 December 2020
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simulation
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quasi-Monte Carlo methods
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American option pricing
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least squares Monte Carlo
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duality approach
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