MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES (Q5483499)
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scientific article; zbMATH DE number 5045428
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| English | MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES |
scientific article; zbMATH DE number 5045428 |
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MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES (English)
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14 August 2006
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American and Bermudan options
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lower and upper bounds
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Monte Carlo simulation
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variance reduction
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0.847986102104187
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0.8478081226348877
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0.8471066951751709
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0.8382696509361267
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