Implied stopping rules for American basket options from Markovian projection
Christian Bayer, Juho Häppölä and Raúl Tempone
| Year of publication: |
2019
|
|---|---|
| Authors: | Bayer, Christian ; Häppölä, Juho ; Tempone, Raúl |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 19.2019, 3, p. 371-390
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| 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 |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2018.1481290 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194659