Revisit of stochastic mesh method for pricing American options
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Publication:1043249
DOI10.1016/j.orl.2009.06.001zbMath1182.91212MaRDI QIDQ1043249
Publication date: 7 December 2009
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2009.06.001
91G60: Numerical methods (including Monte Carlo methods)
91G70: Statistical methods; risk measures
65C05: Monte Carlo methods
91G20: Derivative securities (option pricing, hedging, etc.)
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