The valuation of American barrier options using the decomposition technique
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Publication:1583156
DOI10.1016/S0165-1889(99)00093-7zbMath1032.91064MaRDI QIDQ1583156
Publication date: 26 October 2000
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
91G60: Numerical methods (including Monte Carlo methods)
60G40: Stopping times; optimal stopping problems; gambling theory
91G20: Derivative securities (option pricing, hedging, etc.)
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