Lower bounds for American option prices with control variates
François-Michel Boire, R. Mark Reesor, Lars Stentoft
| Year of publication: |
2023
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|---|---|
| Authors: | Boire, François-Michel ; Reesor, R. Mark ; Stentoft, Lars |
| Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 51.2023, 6, p. 568-574
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| Subject: | American options | Bias correction | Monte Carlo simulation | Optimally sampled control variates | Monte-Carlo-Simulation | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Simulation | Systematischer Fehler | Bias |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.orl.2023.09.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014465726