Adaptive Simulation Algorithms for Pricing American and Bermudan Options by Local Analysis of Financial Market
Year of publication: |
2005-07-27
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Authors: | Belomestny, Denis ; Milstein, Grigori N. |
Institutions: | Sonderforschungsbereich Ökonomisches Risiko <Berlin> |
Subject: | Optionspreistheorie | Aktienoption | Monte-Carlo-Simulation | Varianz | variance principle |
Extent: | 408576 bytes 16 p. application/pdf |
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Series: | Diskussionspapier ; 2006-038 |
Type of publication: | Book / Working Paper |
Language: | English |
Classification: | Employment of capital, capital investment planning and estimate of investment profitability ; Individual Working Papers, Preprints ; No country specification |
Source: | USB Cologne (business full texts) |
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