Monte Carlo valuation of American options
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Publication:4795996
DOI10.1111/1467-9965.02010zbMath1029.91036OpenAlexW3124696154MaRDI QIDQ4795996
Publication date: 26 February 2003
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9965.02010
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
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