Branching particle pricers with Heston examples (Q5221479)
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scientific article; zbMATH DE number 7182442
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Branching particle pricers with Heston examples |
scientific article; zbMATH DE number 7182442 |
Statements
BRANCHING PARTICLE PRICERS WITH HESTON EXAMPLES (English)
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26 March 2020
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American options
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sequential Monte Carlo
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branching processes
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Heston model
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stochastic approximation
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0.7934696674346924
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0.786399245262146
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0.7829670310020447
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0.7757601141929626
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0.7604437470436096
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