American option sensitivities estimation via a generalized infinitesimal perturbation analysis approach
Nan Chen; Yanchu Liu
| Year of publication: |
2014
|
|---|---|
| Authors: | Chen, Nan ; Liu, Yanchu |
| Published in: |
Operations research. - Catonsville, MD : INFORMS, ISSN 0030-364X, ZDB-ID 123389-0. - Vol. 62.2014, 3, p. 616-632
|
| Subject: | finance | asset pricing | American option | price sensitivities | simulation | dynamic programming | applications | optimal stopping | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Dynamische Optimierung | Dynamic programming | Mathematische Optimierung | Mathematical programming | Simulation | Suchtheorie | Search theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010381847