Just-in-time Monte Carlo for path-dependent American options
Year of publication: |
2008
|
---|---|
Authors: | Dutt, Samir K. ; Welke, Gerd M. |
Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 15.2008, 4, p. 29-47
|
Subject: | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process |
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