Additive and multiplicative duals for American option pricing
| Year of publication: |
2007
|
|---|---|
| Authors: | Chen, Nan ; Glasserman, Paul |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 11.2007, 2, p. 153-179
|
| Publisher: |
Springer |
| Subject: | Optimal stopping | Monte Carlo methods | Variance reduction |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005166847