Faster comparison of stopping times by nested conditional Monte Carlo

Fabian Dickmann and Nikolaus Schweizer

Year of publication:	December 2016
Authors:	Dickmann, Fabian ; Schweizer, Nikolaus
Published in:	The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 20.2016, 2, p. 101-123
Subject:	American options \| branching \| multilevel Monte Carlo \| nested simulation \| splitting \| variance reduction \| Simulation \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Optionspreistheorie \| Option pricing theory

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