Dynamic programming for optimal stopping via pseudo-regression
Christian Bayer, Martin Redmann and John Schoenmakers
| Year of publication: |
2021
|
|---|---|
| Authors: | Bayer, Christian ; Redmann, Martin ; Schoenmakers, John |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 1, p. 29-44
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| Subject: | Basket options | Bermudan options | Linear regression | Monte Carlo simulation | Option pricing | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Suchtheorie | Search theory | Dynamische Optimierung | Dynamic programming | Optionsgeschäft | Option trading | Experiment |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2020.1780299 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012424631