Monte Carlo evaluation of American options using consumption processes
Denis Belomestny, Grigori N. Milstein
| Year of publication: |
2006
|
|---|---|
| Authors: | Belomestny, Denis ; Milʹstejn, Grigorij N. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 9.2006, 4, p. 455-481
|
| Subject: | Black-Scholes-Modell | Black-Scholes model | Monte-Carlo-Simulation | Monte Carlo simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003347377