Implied stopping rules for American basket options from Markovian projection
Year of publication: |
2019
|
---|---|
Authors: | Bayer, Christian ; Häppölä, Juho ; Tempone, Raúl |
Subject: | Basket option | Black-Scholes | Error bounds | Hamilton-Jabcobi-Bellman | Markovian projection | Monte Carlo | Optimal stopping | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Black-Scholes-Modell | Black-Scholes model | Suchtheorie | Search theory | Optionsgeschäft | Option trading | Projektmanagement | Project management |
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