An adaptive Monte Carlo algorithm for European and American options
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Publication:5076663
DOI10.22034/cmde.2021.37369.1654zbMath1499.65004OpenAlexW3165773023MaRDI QIDQ5076663
Mahboubeh Aalaei, Mahnaz Manteqipour
Publication date: 17 May 2022
Full work available at URL: https://cmde.tabrizu.ac.ir/article_12765_45d1d353217537cf5bd01eae8e7ec7eb.pdf
finite difference methodBlack-Scholes modeladaptive Monte Carlo algorithmEuropean and American put option
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Iterative numerical methods for linear systems (65F10) Finite difference methods for boundary value problems involving PDEs (65N06)
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