Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods
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Publication:2917432
DOI10.1007/978-3-642-25746-9_7zbMath1247.91196OpenAlexW1655517863MaRDI QIDQ2917432
Publication date: 28 September 2012
Published in: Springer Proceedings in Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-25746-9_7
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)
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