Forest of stochastic meshes: a new method for valuing high-dimensional swing options (Q631202)
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: Forest of stochastic meshes: a new method for valuing high-dimensional swing options |
scientific article; zbMATH DE number 5869199
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Forest of stochastic meshes: a new method for valuing high-dimensional swing options |
scientific article; zbMATH DE number 5869199 |
Statements
Forest of stochastic meshes: a new method for valuing high-dimensional swing options (English)
0 references
22 March 2011
0 references
swing options
0 references
Monte Carlo simulation
0 references
dynamic programming
0 references
stochastic mesh
0 references
multiple state variables
0 references
forest of trees
0 references
0 references
0.7877395749092102
0 references
0.7746624946594238
0 references
0.7621200680732727
0 references
0.753000795841217
0 references
