Efficient pricing of high-dimensional American-style derivatives : a robust regression Monte Carlo method
vorgelegt von Christian Jonen
| Year of publication: |
2011
|
|---|---|
| Authors: | Jonen, Christian |
| Subject: | American options | Bermudan options | Monte Carlo simulation | multiple state variables | regression-based Monte Carlo methods | outliers | Newton-Raphson method | dual methods | variance reduction | quasi-Monte Carlo | importance sampling | stochastic approximation | Optionspreistheorie | Option pricing theory | Robustes Verfahren | Robust statistics | Monte-Carlo-Simulation |
| Description of contents: |
Zsfassung in dt. und engl. Sprache
|
| Extent: | Online-Ressource (IX, 111 S.) graph. Darst. |
|---|---|
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Hochschulschrift ; Thesis |
| Language: | English |
| Thesis: | Köln, Univ., Diss., 2011 |
| Notes: | Zsfassung in dt. Sprache Systemvoraussetzungen: Internet-Anschluß ; Acrobat Reader Systemvoraussetzung: Acrobat Reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010204985