scientific article; zbMATH DE number 1790450
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Publication:4549520
zbMath1002.91032MaRDI QIDQ4549520
Publication date: 28 August 2002
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Dynamic programming (90C39) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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Sequential Design for Optimal Stopping Problems ⋮ Parallel pricing algorithms for multi-dimensional Bermudan/American options using Monte Carlo methods
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