Iterative construction of the optimal Bermudan stopping time
Anastasia Kolodko; John Schoenmakers
| Year of publication: |
2006
|
|---|---|
| Authors: | Kolodko, Anastasia ; Schoenmakers, John |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 10.2006, 1, p. 27-49
|
| Subject: | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Zinsstruktur | Yield curve |
| 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/10003234943