A new Monte Carlo method for American options
Year of publication: |
2004
|
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Authors: | Milʹstejn, Grigorij N. ; Reiß, O. ; Schoenmakers, John |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 7.2004, 5, p. 591-614
|
Subject: | Optionsgeschäft | Option trading | Monte-Carlo-Simulation | Monte Carlo simulation | Black-Scholes-Modell | Black-Scholes model | Hedging |
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