Publication:4549520

zbMath1002.91032MaRDI QIDQ4549520

Jorge A. Picazo

Publication date: 28 August 2002

zbMATH Keywords

dynamic programming; Monte Carlo simulation; American-style options

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

90C39: Dynamic programming

60G40: Stopping times; optimal stopping problems; gambling theory

91G20: Derivative securities (option pricing, hedging, etc.)

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