scientific article; zbMATH DE number 1475699

MaRDI QIDQ4489967zbMATH OpenFDO

Authors D. S. Silvestrov, Victor G. Galochkin, Valeriy G. Sibirtsev

Publication date 12 July 2000

zbMATH Keywords

algorithmsAmerican optionsMonte Carlo pricing

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stopping in statistics (62L15)

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