Branching particle pricers with heston examples
Michael A. Kouritzin, Anne Mackay
| Year of publication: |
2020
|
|---|---|
| Authors: | Kouritzin, Michael A. ; MacKay, Anne |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 23.2020, 1, p. 1-29
|
| Subject: | American options | sequential Monte Carlo | branching processes | Hestonmodel | stochastic approximation | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S021902492050003X [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012270887