New methods with capped options for pricing American options

DOI10.1155/2014/176306zbMath1437.91454OpenAlexW2094213432WikidataQ59050101 ScholiaQ59050101MaRDI QIDQ2336196

Dongya Deng, Cuiye Peng

Publication date: 19 November 2019

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/176306

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Martingales and stochastic integrals in the theory of continuous trading
• Unnamed Item

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