Monte Carlo valuation of American options
Year of publication: |
2002
|
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Authors: | Rogers, Leonard C. G. |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 12.2002, 3, p. 271-286
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Subject: | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Duales Optimierungsproblem | Dual optimization problem | Theorie | Theory |
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