Multilevel dual approach for pricing American style derivates
Year of publication: |
2013
|
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Authors: | Belomestny, Denis ; Schoenmakers, John ; Dickmann, Fabian |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 17.2013, 4, p. 717-742
|
Subject: | optimal stopping | dual approach | multilevel Monte Carlo | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Derivat | Derivative | Suchtheorie | Search theory |
Extent: | graph. Darst |
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Type of publication: | Article |
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Notes: | Addendum enthalten in: Bd. 19.2015, 3 (Jul.), S. 681-684 |
Source: | ECONIS - Online Catalogue of the ZBW |
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