A STATE‐SPACE PARTITIONING METHOD FOR PRICING HIGH‐DIMENSIONAL AMERICAN‐STYLE OPTIONS (Q5427663)
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scientific article; zbMATH DE number 5213439
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A STATE‐SPACE PARTITIONING METHOD FOR PRICING HIGH‐DIMENSIONAL AMERICAN‐STYLE OPTIONS |
scientific article; zbMATH DE number 5213439 |
Statements
A STATE‐SPACE PARTITIONING METHOD FOR PRICING HIGH‐DIMENSIONAL AMERICAN‐STYLE OPTIONS (English)
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21 November 2007
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American-style option
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Monte Carlo simulation
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quasi-Monte Carlo sequence
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state space partitioning
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