Primal-dual quasi-Monte Carlo simulation with dimension reduction for pricing American options
Year of publication: |
2020
|
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Authors: | Xiang, Jiangming ; Wang, Xiaoqun |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 20.2020, 10, p. 1701-1720
|
Subject: | American option pricing | Duality approach | Least squares Monte Carlo | Quasi-Monte Carlo methods | Simulation | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading |
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