OPTION PRICING VIA MONTE CARLO SIMULATIONA WEAK DERIVATIVE APPROACH
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Publication:2748552
DOI10.1017/S0269964801153040zbMath1017.91045OpenAlexW2010169521MaRDI QIDQ2748552
Publication date: 16 October 2001
Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0269964801153040
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)
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