Monte Carlo methods for pricing and hedging American options in high dimension
Lucia Caramellino and Antonino Zanette
| Year of publication: |
2010/11
|
|---|---|
| Authors: | Caramellino, Lucia ; Zanette, Antonino |
| Published in: |
Risk and decision analysis. - Amsterdam : IOS Press, ISSN 1569-7371, ZDB-ID 2512630-1. - Vol. 2.2010/11, 4, p. 207-220
|
| Subject: | Monte-Carlo-Simulation | Monte Carlo simulation | Hedging | Optionspreistheorie | Option pricing theory |
| 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/10009537820