Generic improvements to least squares monte carlo methods with applications to optimal stopping problems
Wei Wei, Dan Zhu
| Year of publication: |
2022
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|---|---|
| Authors: | Wei, Wei ; Zhu, Dan |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 298.2022, 3 (1.5.), p. 1132-1144
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| Subject: | Bermudan options | Dynamic programming | Finance | High-dimensional option pricing | Monte Carlo simulation | Monte-Carlo-Simulation | Optionspreistheorie | Option pricing theory | Dynamische Optimierung | Optionsgeschäft | Option trading | Suchtheorie | Search theory | Simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2021.08.016 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013206929